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Approximations for reflected fractional Brownian motion
Artagan Malsagov1, Michel Mandjes1
1Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Science Park 105, 1098 XH Amsterdam, The Netherlands.
Abstract:
Fractional Brownian motion is a widely used stochastic process that is particularly suited to model anomalous diffusion. We focus on capturing the mean and variance of fractional Brownian motion reflected at level 0. As explicit expressions or numerical techniques are not available, we base our analysis on Monte Carlo simulation. Our main findings concern closed-form approximations of the mean and variance, with a near-perfect fit.
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