Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
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Publication:453268
DOI10.3150/09-BEJ223zbMath1248.60044arXiv1010.1666MaRDI QIDQ453268
Peter Parczewski, Christian Bender
Publication date: 19 September 2012
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.1666
60G22: Fractional processes, including fractional Brownian motion
60H40: White noise theory
60H07: Stochastic calculus of variations and the Malliavin calculus
60B10: Convergence of probability measures
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