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A note on approximation to multifractional Brownian motion

✍ Scribed by HongShuai Dai; YuQiang Li


Publisher
SP Science China Press
Year
2011
Tongue
English
Weight
206 KB
Volume
54
Category
Article
ISSN
1674-7283

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The purpose of this note is to identify an interesting and surprising duality between the equations governing the probability distribution and expected value functional of the stochastic process deΓΏned by At := t 0 exp{Zs} ds; t ΒΏ 0; where {Zs: s ΒΏ 0} is a one-dimensional Brownian motion with drift