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$\epsilon$-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations - MaRDI portal

$\epsilon$-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations

From MaRDI portal
Publication:6314378

DOI10.1287/moor.2020.1078arXiv1902.07824WikidataQ115239504 ScholiaQ115239504MaRDI QIDQ6314378

Hao Ni, Jing Dong, Yi Chen

Publication date: 20 February 2019




Mathematics Subject Classification ID

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





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