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What is Multi-Dimensional G-Fractional Brownian Motion about?
This paper introduces a multi-dimensional fractional Brownian motion under volatility uncertainty, termed G-fBm, and explores its properties and stochastic calculus. The authors extend previous definitions to accommodate the covariance structure inherent in multi-dimensional processes and establish key characteristics such as self-similarity and long-range dependence. Additionally, they develop a pathwise stochastic integral for G-fBm, contributing to the understanding of financial time series modeling unde
- Author
- Hetansh Shah
- Language
- EN