Self-exciting multifractional processes

DOI10.1017/jpr.2020.88zbMath1464.60035arXiv1908.05523OpenAlexW3135827350MaRDI QIDQ4964779

Marc Lagunas-Merino, Fabian A. Harang, Salvador Ortiz-Latorre

Publication date: 3 March 2021

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.05523

zbMATH Keywords

Hurst exponentVolterra equationEuler-Maruyama schemeself-exciting processmultifractional stochastic process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic integral equations (60H20)

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