CORDIS Project
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This project explores multi-parameter multi-fractional Brownian motion and its properties, focusing on stochastic calculus and applications in financial mathematics. It aims to develop theoretical frameworks and practical applications for understanding complex stochastic processes.
The main objective of this proposal is to study the concept of "multi-parameter multi-fractional Brownian motion" and its generalizations.
We define this process, prove existence and give some examples.
We study its properties, especially long-range memory, different kinds of properties which replace the stationarity and the self-similarity.
Some integral representations will be presented and we will try to find characterizations of this process.
We develop stochastic calculus for multi-paramete…
BAR ILAN UNIVERSITY
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