Cargando…
Derivative of the expected supremum of fractional Brownian motion at [Formula: see text]
The H-derivative of the expected supremum of fractional Brownian motion [Formula: see text] with drift [Formula: see text] over time interval [0, T] [Formula: see text] at [Formula: see text] is found. This formula depends on the quantity [Formula: see text] , which has a probabilistic form. The num...
| Autores principales: | , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9534823/ https://www.ncbi.nlm.nih.gov/pubmed/36213862 http://dx.doi.org/10.1007/s11134-022-09859-3 |