Journal of Applied Mathematics and Stochastic Analysis
Volume 2006 (2006), Article ID 32435, 9 pages
doi:10.1155/JAMSA/2006/32435
Abstract
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
α-differentiability of its sample paths.