Hybrid scheme for Brownian semistationary processes
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Publication:136862
DOI10.48550/ARXIV.1507.03004V4arXiv1507.03004v4MaRDI QIDQ136862
Mikko S. Pakkanen, Mikkel Bennedsen, Asger Lunde
Publication date: 10 July 2015
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) General second-order stochastic processes (60G12) Probabilistic models, generic numerical methods in probability and statistics (65C20)
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