On tail probabilities and first passage times for fractional Brownian motion
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Publication:1974576
zbMath0953.60016MaRDI QIDQ1974576
Publication date: 7 May 2000
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
fractional Brownian motionMonte Carlo methodself-similar processPickands constantsimulated ruin probability
Self-similar stochastic processes (60G18) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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