Penalizing fractional Brownian motion for being negative

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Stochastic Processes and their Applications 2020 / 6

Penalizing fractional Brownian motion for being negative

Aurzada, Frank, Buck, Micha, Kilian, Martin
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Journal:
Stochastic Processes and their Applications
DOI:
10.1016/j.spa.2020.06.004
Date:
June, 2020
File:
PDF, 330 KB
2020
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