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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...

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Detalles Bibliográficos
Autores principales:	Bisewski, Krzysztof, Dȩbicki, Krzysztof, Rolski, Tomasz
Formato:	Online Artículo Texto
Lenguaje:	English
Publicado:	Springer US 2022
Materias:	Article
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

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