Being base on the Girsanov theorem for multifractional Brownian motion, which can be
constructed by the multifractional derivative operator, we establish the Harnack inequalities …

In this paper, we introduce a new method to compute the European Call Option price (ct)
under multi-fractional Brownian motion (mBm) with deterministic Hurst function. We build a …

Our aim in this paper is to establish some strong stability results for solutions of stochastic
differential equations driven by a Riemann–Liouville multifractional Brownian motion. The …

In this paper, we study a class of stochastic differential equations with additive noise that
contains a non-stationary multifractional Brownian motion (mBm) with a Hurst parameter as …

In this article, we extend the framework of rough paths to processes of variable Hölder
exponent or variable order paths. A typical example of such paths is the multifractional …