On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter (Q1990032): Difference between revisions

@@ Property / author @@
-Konstantin A. Borovkov
@@ Property / author: Konstantin A. Borovkov / rank @@
-Normal rank
@@ Property / author @@
+Konstantin A. Borovkov
@@ Property / author: Konstantin A. Borovkov / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03496
@@ Property / arXiv ID: 1802.03496 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds for expected maxima of Gaussian processes and their discrete approximations
+Normal rank
@@ Property / cites work @@
+On the norming constants for normal maxima
@@ Property / cites work: On the norming constants for normal maxima / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+On the rate of convergence of normal extremes
@@ Property / cites work: On the rate of convergence of normal extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for fractional Brownian motion and related processes.
+Normal rank
@@ Property / OpenAlex ID @@
+W2964314882
@@ Property / OpenAlex ID: W2964314882 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1990032