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

DOI10.1287/moor.2020.1078OpenAlexW3127306678WikidataQ115239504 ScholiaQ115239504MaRDI QIDQ5000646

Hao Ni, Jing Dong, Yi Chen

Publication date: 15 July 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.07824

zbMATH Keywords

stochastic differential equationfractional Brownian motionMonte Carlo simulation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05)

Related Items

Anomalous diffusion: fractional Brownian motion vs fractional Ito motion ⋮ Strong approximation of some particular one-dimensional diffusions

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