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Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT 

Year 2011, Volume: 40 Issue: 2, 255 - 264, 01.02.2011

References

  • Abry, P. and Sellan, F. The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation, Appl. Comp. Harmonic Anal. , 337–383, 1996.
  • Bertoin, J. Levy Processes (Cambridge University Press, Cambridge, UK, 1996).
  • Biagini, F., Hu, Yaozhong., Oksendal, B. and Zhang, T. Stochastic Calculus for Fractional Brownian Motion and Applications (Springer Verlag, London, 2008).
  • Caglar, M. Simulation of fractional Brownian motion with micropulses, Advances in Per- formance Analysis 3 (1), 43–69, 2000.
  • Decreusefond, L. and Nualart, D. Hitting times For Gaussian processes, Annals Probab. , 319–330, 2008.
  • Douady, R., Yor, M. and Shiryaev, A. N. On the probability charateristics of “drop” variables in standard Brownian motion, Theory Probab. Appl. 44 (1), 29–38, 2000.
  • Kolmogorov, A. N. Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum, C. R. (Doklady) Acad. URSS(N.S) 26, 115–118, 1940.
  • L´evy, P. Processus Stochatiques et Mouvement Brownien (Gauthier-Villars, Paris, 1948).
  • Mandelbrot, B. B. and Van Ness, J. W. Fractional Brownian motions, fractional noises and applications, SIAM Rev. 10, 422–437, 1968.
  • Revuz, D. and Yor, M. Continuous Martingales and Brownian Motion (Springer Verlag, Berlin, Hiedelberg, 2001).
  • Rogers, L. C. G. Arbitrage with fractional Brownian motion, Mathematical Finance 7, 95– , 1997.
  • Salminen, P. and Vallois, P. On maximum increase and decrease of Brownian motion, An- nales de l’institut Henri Poincare (B) Probabilit ´Us et Statistiques 43 (6), 655–676, 2007.
  • Sellan, F. Synth´ese de mouvements Browniens fractionaires `a l’aide de la transformation par ondelettes, C. R. Acad. Sci. Paris Ser. Math. 321, 351–358, 1995.

Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT 

Year 2011, Volume: 40 Issue: 2, 255 - 264, 01.02.2011

References

  • Abry, P. and Sellan, F. The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation, Appl. Comp. Harmonic Anal. , 337–383, 1996.
  • Bertoin, J. Levy Processes (Cambridge University Press, Cambridge, UK, 1996).
  • Biagini, F., Hu, Yaozhong., Oksendal, B. and Zhang, T. Stochastic Calculus for Fractional Brownian Motion and Applications (Springer Verlag, London, 2008).
  • Caglar, M. Simulation of fractional Brownian motion with micropulses, Advances in Per- formance Analysis 3 (1), 43–69, 2000.
  • Decreusefond, L. and Nualart, D. Hitting times For Gaussian processes, Annals Probab. , 319–330, 2008.
  • Douady, R., Yor, M. and Shiryaev, A. N. On the probability charateristics of “drop” variables in standard Brownian motion, Theory Probab. Appl. 44 (1), 29–38, 2000.
  • Kolmogorov, A. N. Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum, C. R. (Doklady) Acad. URSS(N.S) 26, 115–118, 1940.
  • L´evy, P. Processus Stochatiques et Mouvement Brownien (Gauthier-Villars, Paris, 1948).
  • Mandelbrot, B. B. and Van Ness, J. W. Fractional Brownian motions, fractional noises and applications, SIAM Rev. 10, 422–437, 1968.
  • Revuz, D. and Yor, M. Continuous Martingales and Brownian Motion (Springer Verlag, Berlin, Hiedelberg, 2001).
  • Rogers, L. C. G. Arbitrage with fractional Brownian motion, Mathematical Finance 7, 95– , 1997.
  • Salminen, P. and Vallois, P. On maximum increase and decrease of Brownian motion, An- nales de l’institut Henri Poincare (B) Probabilit ´Us et Statistiques 43 (6), 655–676, 2007.
  • Sellan, F. Synth´ese de mouvements Browniens fractionaires `a l’aide de la transformation par ondelettes, C. R. Acad. Sci. Paris Ser. Math. 321, 351–358, 1995.
There are 13 citations in total.

Details

Primary Language Turkish
Journal Section Mathematics
Authors

Ceren Vardar This is me

Publication Date February 1, 2011
Published in Issue Year 2011 Volume: 40 Issue: 2

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APA Vardar, C. (2011). Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT . Hacettepe Journal of Mathematics and Statistics, 40(2), 255-264.
AMA Vardar C. Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT . Hacettepe Journal of Mathematics and Statistics. February 2011;40(2):255-264.
Chicago Vardar, Ceren. “Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT ”. Hacettepe Journal of Mathematics and Statistics 40, no. 2 (February 2011): 255-64.
EndNote Vardar C (February 1, 2011) Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT . Hacettepe Journal of Mathematics and Statistics 40 2 255–264.
IEEE C. Vardar, “Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT ”, Hacettepe Journal of Mathematics and Statistics, vol. 40, no. 2, pp. 255–264, 2011.
ISNAD Vardar, Ceren. “Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT ”. Hacettepe Journal of Mathematics and Statistics 40/2 (February 2011), 255-264.
JAMA Vardar C. Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT . Hacettepe Journal of Mathematics and Statistics. 2011;40:255–264.
MLA Vardar, Ceren. “Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT ”. Hacettepe Journal of Mathematics and Statistics, vol. 40, no. 2, 2011, pp. 255-64.
Vancouver Vardar C. Results on the Supremum of Fractional Brownian Motion  ABSTRACT  |  FULL TEXT . Hacettepe Journal of Mathematics and Statistics. 2011;40(2):255-64.