Evaluation of integrals with fractional Brownian motion for different Hurst indices

Fei Gao, Shuaiqiang Liu, Cornelis W. Oosterlee, Nico M. Temme. Evaluation of integrals with fractional Brownian motion for different Hurst indices. Int. J. Comput. Math., 100(4):847-866, April 2023. [doi]

Abstract

Abstract is missing.