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Found 11 Documents (Results 1–11)

Existence and uniqueness of solution, change of measure and applications in finance of semilinear stochastic differential equations that contain fractional Brownian motion. (Ukrainian, English) Zbl 1026.60074

Teor. Jmovirn. Mat. Stat. 65, 79-90 (2001); translation in Theory Probab. Math. Stat. 65, 89-100 (2002).
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Differentiability of fractional integrals whose kernels contain fractional Brownian motion. (English. Ukrainian original) Zbl 0985.60057

Ukr. Math. J. 53, No. 1, 35-47 (2001); translation from Ukr. Mat. Zh. 53, No. 1, 30-40 (2001).
MSC:  60H05 26A33 60G51
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Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations. (English) Zbl 0983.60057

Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 230-238 (2001).
MSC:  60H10
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Conditions of presence and absence of arbitrage for a model of \((B,S)\)-market defined by fractional Brownian motion. (Ukrainian. English summary) Zbl 0984.91039

MSC:  91B26 62P05 60H05
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Maximal inequalities for moments of Wiener integrals with respect to fractional Brownian motion. (English. Ukrainian original) Zbl 0985.60032

Theory Probab. Math. Stat. 61, 75-86 (2000); translation from Teor. Jmovirn. Mat. Stat. 61, 72-83 (2000).
MSC:  60G15 60H10 60G44
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