Evaluation of integrals with fractional Brownian motion for different Hurst indices
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DOI: 10.1080/00207160.2022.2163166
Abstract: In this paper, we will evaluate integrals that define the conditional expectation, variance and characteristic function of stochastic processes with respect to fractional Brownian motion (fBm) for all relevant Hurst indices, i.e. . Particularly, the… read more here.
Keywords: brownian motion; hurst indices; fractional brownian; evaluation integrals ... See more keywords