Derivative of the expected supremum of fractional Brownian motion at H=1.

Krzysztof Bisewski Krzysztof Debicki Tomasz Rolski

Published in: Queueing Syst. Theory Appl. (2022)

Keyphrases

fractional brownian motion
long range
non stationary
fractal dimension
long range dependence
gray scale
financial markets
decision making
long term
expert systems
prior knowledge
mathematical model
conditional random fields