A generalized stochastic process: fractional \(G\)-Brownian motion
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Publication:6164852
DOI10.1007/s11009-023-10010-9zbMath1515.60097OpenAlexW4320482944MaRDI QIDQ6164852
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Publication date: 4 July 2023
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-023-10010-9
numerical simulationlong-range dependence\(G\)-expectationvolatility uncertaintyfractional \(G\)-Brownian motion
Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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