Simulation paradoxes related to a fractional Brownian motion with small Hurst index
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Publication:340830
DOI10.15559/16-VMSTA59zbMath1353.65012arXiv1607.03631MaRDI QIDQ340830
Publication date: 15 November 2016
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.03631
fractional Brownian motion; Monte Carlo simulations; discrete approximation; Hurst index; expected maximum
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Cites Work
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