Penalizing fractional Brownian motion for being negative
type: Item
instance of: scholarly article
title: Penalizing fractional Brownian motion for being negative
zbMATH Open document ID: 1454.60051
author: Frank Aurzada
author: Micha Buck
author: Martin Kilian
published in: Stochastic Processes and their Applications
publication date: 2021-02-18T00:00:00Z
full work available at URL: https://arxiv.org/abs/1907.07608
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60G10
zbMATH DE Number: 7312342
zbMATH Keywords: Brownian meander
zbMATH Keywords: Brownian motion
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Girsanov's theorem
zbMATH Keywords: persistence probability
zbMATH Keywords: processes conditioned to be positive
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W3034439966
arXiv ID: 1907.07608
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DOI: 10.1016/J.SPA.2020.06.004
description: scientific article