Mišura, Julija S.; Ralchenko, Kostiantyn; Shklyar, S. V. - In: Risks : open access journal 8 (2020) 1/11, pp. 1-29
converging to the Riemann–Liouville fractional Brownian motion. The multiplicative counterparts for these two schemes are … Brownian motion, which is based on the Cholesky decomposition of its covariance matrix. The second example is a scheme … be interpreted as an asset price with memory. As an example, we study an additive scheme that converges to fractional …