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Covariance of stochastic integrals with respect to fractional Brownian motion
Yohaï Maayan
*
, Eddy Mayer-Wolf
*
Corresponding author for this work
Technion-Israel Institute of Technology
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Keyphrases
Covariance
100%
Fractional Brownian Motion
100%
Stochastic Integral
100%
Integral Component
33%
Vector Field
33%
Integrand
33%
Decomposition Process
33%
Cross-covariance
33%
Hurst Parameter
33%
Fractional Bessel Process
33%
Alternative Proof
33%
Mathematics
Covariance
100%
Fractional Brownian Motion
100%
Stochastic Integral
100%
Explicit Expression
33%
Vector Field
33%
Integrand
33%
Friedrich Wilhelm Bessel
33%
Hurst Parameter
33%
Stochastic Integral Process
33%