Deconvolution of fractional brownian motion
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DOI: 10.1111/1467-9892.00274
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Cited by:
- Harms, Philipp & Stefanovits, David, 2019. "Affine representations of fractional processes with applications in mathematical finance," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1185-1228.
- Jost, Céline, 2006. "Transformation formulas for fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1341-1357, October.
- Davidson, James & Hashimzade, Nigar, 2009.
"Representation And Weak Convergence Of Stochastic Integrals With Fractional Integrator Processes,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1589-1624, December.
- James Davidson & Nigar Hashimzade, 2007. "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," CREATES Research Papers 2007-45, Department of Economics and Business Economics, Aarhus University.
- James Davidson & Nigar Hashimzade, 2008. "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," Discussion Papers 0807, University of Exeter, Department of Economics.
- Biagini, Francesca & Fink, Holger & Klüppelberg, Claudia, 2013. "A fractional credit model with long range dependent default rate," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1319-1347.
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