62 citations · 250 across the 22 of their papers we have counts for
4 papers · 1 filter
Self-avoiding fractional Brownian motion - The Edwards model
Martin Grothaus, Maria João Oliveira, José Luis da Silva +1
In this work we extend Varadhan's construction of the Edwards polymer model to the case of fractional Brownian motions in , for any dimension , with arbitrary Hurst…
The fractional volatility model: No-arbitrage, leverage and risk measures
R. Vilela Mendes, Maria João Oliveira
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fr…
The fractional Poisson measure in infinite dimensions
Maria Joao Oliveira, Habib Ouerdiane, Jose Luis da Silva +1
The Mittag-Leffler function being a natural generalization of the exponential function, an infinite-dimensional version of the fractional Poisson measure would have a charact…
Intersection local times of independent fractional Brownian motions as generalized white noise functionals
Maria Joao Oliveira, Jose Luis da Silva, Ludwig Streit
In this work we present expansions of intersection local times of fractional Brownian motions in , for any dimension , with arbitrary Hurst coefficients in …