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Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
discrete Wick calculus fractional Brownian motion weak convergence
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2010/10/19
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fra...