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  • Hu, Yaozhong; Øksendal, Bernt; Salopek, Donna Mary (Research report / Forskningsrapport, 2001)
    A Meyer-Tanaka formula involving weighted local time is derived for fractional Brownian motion and geometric fractional Brownian motion. The formula is applied to the study of the stop-loss-start-gain (SLSG) portfolio in ...