On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) (Q2301477)
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scientific article
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| English | On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) |
scientific article |
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On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) (English)
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24 February 2020
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fractional Brownian motion
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signature
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rate of convergence
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sharp decay rate
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cubature method
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0.7710679173469543
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0.7696130275726318
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0.7689498662948608
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0.7682681083679199
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