CHUYỂN ĐỘNG BROWN PHÂN THỨ VÀ TÀI CHÍNH ĐỊNH LƯỢNG

Trần Phước Lộc

Trần Phước Lộc Đại học Cần Thơ

Abstract

Thiếu tóm tắc

References

[1] Tran Hung Thao, “An approximate approach to fractional analysis for finance”, Nonlinear Analysis: Real W. Appl, 7(1) (2006), 124-132.
[2] Tran Hung Thao, “A Practical Approach to fractional Stochastics”, J. Comput.,Nonlinear Dyn., 8(2013), 1-15.
[3] Tran Hung Thao, “A note on Fractional Brownian Motion”, Vietnam J. Math., 31(3) (2003), 255-260.
[4] Tran Hung Thao and Tran Trong Nguyen, “Fractal Langevin Equation”, Vietnam Journal of Mathematics, 30(1) (2002), pp. 89-96.
[5] Tran Hung Thao, “On some Classes of Fractional Stochastic Dynamical Systems”, EastWest J. of Math., 15(1) (2013), 55-70.
[6] Tran Hung Thao and Nguyen Tien Dung, “An approximate Approach to Fractional Stochastic Integration and its Applications”, Braz. J of Probab. Stat., 24(1) (2010), 57-67.
[7] Tran Hung Thao, Pairote Sattayatham and Tidarut Plienpanich “Fractional Integrated FARCH Diffusion Models”, J. of Korean Stat. Society, 38(3) (2009), 231-108.
[8] Hoang Thi Phuong Thao, Tran Hung Thao, “Estimating Fractional Stochastic Volatility”, The International Journal of Contemporary Mathematical Sciences, 82(38) (2012), pp. 1861-1869.
[9] Hoang Thi Phuong Thao, “A Note on Jumps-Fractional Processes”, East-West J. of Math., 16(1) (2014), pp. 14-24.
[10] Tran Hung Thao and Chistine Thomas-Agnan, “É volution des Cours Gouvernee par un Processus de Type ARIMA Fractionaire”, Studia Babes-Bolyai, Mathematica, 38(2) (2003), 107-115.
[11] Tran Phuoc Loc, “On a Fractional Schwartz Model for Mean Reversion”, to appear.