Asymptotic preserving schemes for SDEs driven by fractional Brownian motion in the averaging regime.

Charles-Edouard Bréhier

Published in: CoRR (2021)

Keyphrases

fractional brownian motion
long range
non stationary
long range dependence
fractal dimension
financial markets
random fields
asymptotically optimal
mathematical model
bayesian networks
least squares
stochastic differential equations