Bounds on the expected value of maximum loss of fractional Brownian motion (Q491710)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bounds on the expected value of maximum loss of fractional Brownian motion |
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Bounds on the expected value of maximum loss of fractional Brownian motion (English)
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19 August 2015
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fractional Brownian motion
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maximum loss
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Hurst parameter
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Cholesky decomposition
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Sudakov-Fernique inequality
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