Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion
zbMATH Open1540.60069MaRDI QIDQ6564549FDOQ6564549
José Alfredo López-Mimbela, Gerardo Pérez Suárez
Publication date: 1 July 2024
Published in: ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)
Gaussian processesfractional Brownian motiontail estimatesmoments estimatesexponential functionalscontinuity in law of exponential functionals
Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22)
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