Optimization of small deviation for mixed fractional Brownian motion with trend (Q5086459)
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scientific article; zbMATH DE number 7553398
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| English | Optimization of small deviation for mixed fractional Brownian motion with trend |
scientific article; zbMATH DE number 7553398 |
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Optimization of small deviation for mixed fractional Brownian motion with trend (English)
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5 July 2022
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mixed Brownian-fractional Brownian process
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fractional calculus
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small ball probability
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trend
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zero trend
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maximization of the lower bound
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Fredholm equation
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Girsanov theorem
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two-sided bounds
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0.8416591882705688
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0.745444118976593
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0.7408328652381897
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0.7372279763221741
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0.7331290245056152
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