Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
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Publication:453268
DOI10.3150/09-BEJ223zbMath1248.60044arXiv1010.1666MaRDI QIDQ453268
Peter Parczewski, Christian Bender
Publication date: 19 September 2012
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.1666
Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07) Convergence of probability measures (60B10)
Related Items (3)
On asymptotic constants in the theory of extremes for Gaussian processes ⋮ A Fractional Donsker Theorem ⋮ Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
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