The Model of Real Data Constructing Using Fractional Brownian Motion
نویسندگان
چکیده
Let’s assume , ,.., 1 , n k t t k = = , 0 , 0 ) 1 ( 1 1 = − − + = t n T k t tk ) ))( ( ( k k t X x ⋅ Φ = is a model of observed time series . ... 1 n x x Let’s call ξ as a basic process of the model. Levy processes with independent stationary increments have been considered as basic for models of time series (particularly financial) [1-4]. The next step in the development of the models is transition to diffusion processes. For example, diffusion model of stock price ) (t S is obtained from the following considerations:
منابع مشابه
Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion
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