Bounds on the expected value of maximum loss of fractional Brownian motion (Q491710)
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scientific article; zbMATH DE number 6473548
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| English | Bounds on the expected value of maximum loss of fractional Brownian motion |
scientific article; zbMATH DE number 6473548 |
Statements
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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0.852084219455719
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0.8287460803985596
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0.8110551834106445
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0.7492648363113403
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