On the mixed fractional Brownian motion. (English) Zbl 1147.60313

Summary: The mixed fractional Brownian motion is used in mathematical finance, in the modelling of some arbitrage-free and complete markets. In this paper, we present some stochastic properties and characteristics of this process, and we study the \(\alpha \)-differentiability of its sample paths.


60G15 Gaussian processes
60G17 Sample path properties
Full Text: DOI EuDML


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