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- W4293500172 abstract "Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration requires specific developments. Multifractional Brownian motion (mBm) is a Gaussian process that generalizes fBm by letting the local Holder exponent vary in time. This is useful in various areas, including financial modelling and biomedicine. In this work we start from the fact, established in cite[Thm 2.1.(i)]{fBm_to_mBm_HerbinLebovitsVehel}, that an mBm may be approximated, in law, by a sequence of tangent fBms. We used this result to show how one can define a stochastic integral w.r.t. mBm from the stochastic integral w.r.t. fBm, defined in cite{Ben1}, in the White Noise Theory sense." @default.
- W4293500172 created "2022-08-29" @default.
- W4293500172 creator A5070627363 @default.
- W4293500172 date "2013-05-02" @default.
- W4293500172 modified "2023-09-27" @default.
- W4293500172 title "From Stochastic Integration wrt Fractional Brownian Motion to Stochastic Integration wrt Multifractional Brownian Motion" @default.
- W4293500172 doi "https://doi.org/10.48550/arxiv.1305.0342" @default.
- W4293500172 hasPublicationYear "2013" @default.
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