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- W4293553254 abstract "The H-derivative of the expected supremum of fractional Brownian motion {BH(t),t∈R+} with drift a∈R over time interval [0, T] ∂∂HE(supt∈[0,T]BH(t)-at) at H=1 is found. This formula depends on the quantity I , which has a probabilistic form. The numerical value of I is unknown; however, Monte Carlo experiments suggest I≈0.95 . As a by-product we establish a weak limit theorem in C[0, 1] for the fractional Brownian bridge, as H↑1 ." @default.
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- W4293553254 date "2022-08-30" @default.
- W4293553254 modified "2023-10-18" @default.
- W4293553254 title "Derivative of the expected supremum of fractional Brownian motion at $$H=1$$" @default.
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- W4293553254 doi "https://doi.org/10.1007/s11134-022-09859-3" @default.
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