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~person:"Michna, Zbigniew"
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Search: subject:"Fractional Brownian Motion"
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Pickands constant
3
Fractional Brownian motion
2
Monte Carlo method
2
first passage time
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simulation of ruin probability
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Cholesky factorization
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change of measure
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fGp algorithm
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fractional Brownian motion
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Michna, Zbigniew
Asai, Manabu
6
McAleer, Michael
6
Mišura, Julija S.
6
Phillips, Peter C.B.
6
Bassler, Kevin E.
5
Gunaratne, Gemunu H.
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McCauley, Joseph L.
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Rostek, Stefan
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Yu, Jun
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Gorostiza, Luis G.
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Härdle, Wolfgang
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Reveiz, Alejandro
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Rosenbaum, Mathieu
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Tindel, Samy
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Ayache, Antoine
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Björk, Tomas
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Bojdecki, Tomasz
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Breton, A. Le
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Davidson, James
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Garavaglia, M.
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Garcin, Matthieu
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Hall, Peter
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Hashimzade, Nigar
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Hult, Henrik
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Jing, Bingyi
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Kleinow, Torsten
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Kleptsyna, M.L.
3
Marinucci, D
3
Pérez, D.G.
3
Robinson, Peter M.
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Rosso, O.A.
3
Schmidt, Peter
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Schöbel, Rainer
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Shokrollahi, Foad
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Wang, Xiaohu
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Xiang, Yun
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
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Computational Statistics
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Mathematical Methods of Operations Research
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Simulation of Pickands constants
Burnecki, Krzysztof
;
Michna, Zbigniew
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2002
simulate
fractional
Brownian
motion
. Finally, we compare the approximations with a theoretical hypothesis and a recently …
Persistent link: https://www.econbiz.de/10009003623
Saved in:
2
On tail probabilities and first passage times for
fractional
Brownian
motion
Michna, Zbigniew
- In:
Computational Statistics
49
(
1999
)
2
,
pp. 335-354
In the paper we present a method of simulation of ruin probability over infinite horizon for
fractional
Brownian
motion
…
Persistent link: https://www.econbiz.de/10010759583
Saved in:
3
On tail probabilities and first passage times for
fractional
Brownian
motion
Michna, Zbigniew
- In:
Mathematical Methods of Operations Research
49
(
1999
)
2
,
pp. 335-354
In the paper we present a method of simulation of ruin probability over infinite horizon for
fractional
Brownian
motion
…
Persistent link: https://www.econbiz.de/10010999997
Saved in:
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