A martingale approach for fractional Brownian motions and related path dependent PDEs (Q2299585)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A martingale approach for fractional Brownian motions and related path dependent PDEs |
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A martingale approach for fractional Brownian motions and related path dependent PDEs (English)
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21 February 2020
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fractional Brownian motion
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Volterra SDE
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Monte Carlo methods
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path dependent PDEs
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functional Itô formula
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rough volatility
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time inconsistency
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