Geodesic
The Absence of Arbitrage in a~Mixed Brownian--Fractional Brownian Model
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 224-233.

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A mixed version of the Black–Merton–Scholes model is considered, i.e. a market with a bond and a stock such that the stock is controlled by a linear combination of a Wiener process and a fractional Brownian motion. It is proved that such a market is arbitrage-free. As an auxiliary result, a representation of a fractional Brownian motion is obtained in terms of the “basic” Gaussian martingale with independent increments. 
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Yu. S. Mishura; E. Valkeila. The Absence of Arbitrage in a~Mixed Brownian--Fractional Brownian Model. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 224-233. http://geodesic.mathdoc.fr/item/TM_2002_237_a12/

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