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Information × Registration Number 0211U013468, 0111U007051 , R & D reports Title Fractional and multifractional processes and their applications to financial mathematics popup.stage_title Head Shevchenko Georgiy Mykhaylovyvh, Доктор фізико-математичних наук Registration Date 04-01-2012 Organization Taras Shevchenko Kiev university popup.description2 The real harmonizable multifractional stable motion is defined, its pathwise continuity and localizability are proved. Existence and joint continuity of local time is established. For multifractional stable field, its continuity and existence of local time are shown. For multifractional Gaussian field, it is also shown that the local time is jointly continuous. Existence and uniqueness of solution to a mixed stochastic differential equation involving both Brownian and fractionl Brownian motion are proved. Approximations of solutions of mixed stochastic differential equations (Euler approximations) are constructed. The rate of convergence for these approximations is found. Product Description popup.authors Шевченко Г.М. popup.nrat_date 2020-04-02 Close