2-microlocal analysis of martingales and stochastic integrals
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References listed on IDEAS
- Heston, Steven L, 1993.
"A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options,"
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- Herbin, Erick & Lévy-Véhel, Jacques, 2009. "Stochastic 2-microlocal analysis," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2277-2311, July.
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- Neuman, Eyal, 2014. "The multifractal nature of Volterra–Lévy processes," Stochastic Processes and their Applications, Elsevier, pages 3121-3145.
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Keywords2-microlocal analysis; Bessel processes; Hölder regularity; Multifractional Brownian motion; Stochastic differential equations; Stochastic integral;
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