The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter (Q2321087)
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scientific article; zbMATH DE number 7099033
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| English | The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter |
scientific article; zbMATH DE number 7099033 |
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The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter (English)
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28 August 2019
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fractional Brownian motion
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Hurst parameter
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continuous dependence
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stochastic differential equation
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0.8011383414268494
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0.7782483696937561
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0.7696610689163208
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