Showing 2025 · math.PRShow all
2 papers · 2 filters
math.PR2025
Hadamard fractional Brownian motion: path properties and Wiener integration
Luisa Beghin, Alessandro De Gregorio, Yuliya Mishura
The so-called Hadamard fractional Brownian motion, as defined in Beghin et al. (2025) by means of Hadamard fractional operators, is a Gaussian process which shares some properties…
math.PR2025
Discrete-time weak approximation of a Black-Scholes model with drift and volatility Markov switching
Vitaliy Golomoziy, Kamil Kladivko, Yuliya Mishura
We consider a continuous-time financial market with an asset whose price is modeled by a linear stochastic differential equation with drift and volatility switching driven by a uni…