A generalized stochastic process: fractional G-Brownian motion

DOI10.1007/S11009-023-10010-9zbMATH Open1515.60097OpenAlexW4320482944MaRDI QIDQ6164852FDOQ6164852

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Publication date: 4 July 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-023-10010-9

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zbMATH Keywords

long-range dependence\(G\)-expectationnumerical simulationvolatility uncertaintyfractional \(G\)-Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited In (6)

• Fractional Brownian motion time-changed by gamma and inverse gamma process
• On Gaussian processes equivalent in law to fractional Brownian motion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Generalized fractional Laplace motion
• Generalized fractional Brownian motion

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