ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations.

Yi Chen Jing Dong Hao Ni

Published in: Math. Oper. Res. (2021)

Keyphrases

stochastic differential equations
fractional brownian motion
long range
non stationary
maximum a posteriori estimation
brownian motion
long range dependence
additive gaussian noise
random fields
fractal dimension
financial markets
mathematical model
stock price
reinforcement learning
markov chain