A martingale approach for fractional Brownian motions and related path dependent PDEs (Q2299585)
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scientific article
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| English | A martingale approach for fractional Brownian motions and related path dependent PDEs |
scientific article |
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A martingale approach for fractional Brownian motions and related path dependent PDEs (English)
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21 February 2020
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fractional Brownian motion
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Volterra SDE
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Monte Carlo methods
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path dependent PDEs
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functional Itô formula
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rough volatility
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time inconsistency
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0.7750094532966614
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0.7687240839004517
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0.7647520303726196
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0.7574897408485413
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