Simulation paradoxes related to a fractional Brownian motion with small Hurst index (Q340830): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C50 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G22 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6652954 / rank | |||
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fractional Brownian motion | |||
| Property / zbMATH Keywords: fractional Brownian motion / rank | |||
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Monte Carlo simulations | |||
| Property / zbMATH Keywords: Monte Carlo simulations / rank | |||
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expected maximum | |||
| Property / zbMATH Keywords: expected maximum / rank | |||
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discrete approximation | |||
| Property / zbMATH Keywords: discrete approximation / rank | |||
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Hurst index | |||
| Property / zbMATH Keywords: Hurst index / rank | |||
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Revision as of 06:08, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulation paradoxes related to a fractional Brownian motion with small Hurst index |
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Simulation paradoxes related to a fractional Brownian motion with small Hurst index (English)
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15 November 2016
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fractional Brownian motion
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Monte Carlo simulations
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expected maximum
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discrete approximation
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Hurst index
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