Mean square approximation of multi dimensional reflecting fractional Brownian motion via penalty method (Q934440)
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scientific article; zbMATH DE number 5305455
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| English | Mean square approximation of multi dimensional reflecting fractional Brownian motion via penalty method |
scientific article; zbMATH DE number 5305455 |
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Mean square approximation of multi dimensional reflecting fractional Brownian motion via penalty method (English)
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29 July 2008
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stochastic differential equation
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Euler-Maryama scheme
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Monte Carlo simulation
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reflecting fractional Brownian motions
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0.8668112754821777
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0.8446326851844788
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0.8446324467658997
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0.8363553881645203
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0.7600170969963074
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