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- W4313579780 abstract "In the present paper, we introduce a new process called multivariate G-fractional Brownian motion (B_{t}^{H}) where the Hurst parameter H is a diagonal matrix. Moreover, we give an approximation (R_{t}^{ε}) of Riemann-Liouville process of (B_{t}^{H}) by G-Itô's processes. Then we give stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart fractional process defined by R_{t}^{ε}(R_{t}^{ε})^{∗}, which has 0 and |R_{t}^{ε}|² as eigenvalues. An intermediate asymptotic comparison result concerning the eigenvalue |R_{t}^{ε}|² is also obtained" @default.
- W4313579780 created "2023-01-06" @default.
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- W4313579780 date "2022-12-21" @default.
- W4313579780 modified "2023-10-01" @default.
- W4313579780 title "Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion" @default.
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- W4313579780 doi "https://doi.org/10.5269/bspm.51618" @default.
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