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xuruilong100 发表于 2013-9-12 09:50
补充你的签名
Therefore fBm in finance is forbidden，But， as we also know， boys like to do forbidd ...

interesting. My first time to know this.

xuruilong100 发表于 2013-9-12 09:50
补充你的签名
Therefore fBm in finance is forbidden，But， as we also know， boys like to do forbidd ...

这里积分是同一个分数布朗运动
由于区间不想交
是不是有跟布朗运动相同的结果
该期望为零呢？
谢谢啊

weilinhy 发表于 2013-9-12 09:44
谢谢 可能我这里表达有误
这里积分是同一个分数布朗运动
由于区间不想交

I am not familiar with fBM, but intuitively, since the main modification of fBM is removing the independence of the increment, even though the interval is not overlapped, this expectation cannot be zero.

best,

Chemist_MZ 发表于 2013-9-12 09:57
I am not familiar with fBM, but intuitively, since the main modification of fBM is removing the in ...

Thanks for a lot.
To overcome this diffucult is a hard work？

Chemist_MZ 发表于 2013-9-12 09:57
I am not familiar with fBM, but intuitively, since the main modification of fBM is removing the in ...

absolutely, expert

this paper can help you

http://www.icm2006.org/proceedin ... ts/ICM_Vol_3_74.pdf

这个作者精于研究fBm，貌似博士论文就是以此为题

xuruilong100 发表于 2013-9-12 11:10
这个作者精于研究fBm，貌似博士论文就是以此为题

谢谢 nualart在kansas 是个大师人物