The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model (Q2070629)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model |
scientific article |
Statements
The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model (English)
0 references
24 January 2022
0 references
Gaussian multiplicative chaos
0 references
rough volatility
0 references
Gaussian fields
0 references
fractional Brownian motion
0 references