On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\)
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Publication:2301477
DOI10.1016/j.spa.2019.04.013zbMath1471.60090arXiv1609.07352OpenAlexW2944937736MaRDI QIDQ2301477
Publication date: 24 February 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.07352
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Signatures and data streams (60L10)
Related Items (5)
Expected signature of stopped Brownian motion on \(d\)-dimensional \(C^{2, \alpha }\)-domains has finite radius of convergence everywhere: \(2 \leq d \leq 8\) ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ An application of the multiplicative Sewing Lemma to the high order weak approximation of stochastic differential equations ⋮ Sig‐Wasserstein GANs for conditional time series generation ⋮ The expected signature of Brownian motion stopped on the boundary of a circle has finite radius of convergence
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