Approximation of stochastic Hammerstein integral equation with fractional Brownian motion input.

Wilfried Grecksch Vo V. Anh

Published in: Monte Carlo Methods Appl. (1999)

Keyphrases

fractional brownian motion
long range
non stationary
integral equation
fractal dimension
long range dependence
random fields
stochastic differential equations
financial markets
numerical integration
long term
higher order
basis functions
partial differential equations