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How rich is the class of multifractional Brownian motions?

April 26, 2017brownian class motions Rich

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How rich is the class of multifractional Brownian motions?

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Stilian Stoev (Boston University) The multifractional Brownian motion (MBM) processes are locally self-similar Gaussian processes. They extend the classical fractional Brownian motion processes by allowing their self-similarity parameter 0 MONDAY, April 4, 2005 TIME: 10:30 am – 12pm (MCS 135) How rich is the class of multifractional Brownian motions? II Stilian Stoev (Boston University) This will be the continuation of last’s week talk. MONDAY, April 11, 2005 TIME: 10:00 am – 12pm (MCS 135) Overview of GARCH models Jianing Di (Boston University) GARCH type models have been applied in modelling the relation between conditional variance and asset rist premia. In the past 20 years there has been a vast quantity of research uncovering the properties of competing volatility models. I will give a brief review of those models and present some new ideas of random models with the comparison of results. WEDNESDAY, April 20, 2005 TIME: 10:00 am – 12pm (MCS 135) Linear Multifractional Stable Motio