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Penalizing fractional Brownian motion for being negative |
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| Institution: | Department of Mathematics and Statistics, University of Ottawa, 585 King Edward Avenue, Ottawa, ON, K1N 6N5, Canada;Institute of Mathematics, Faculty of Mathematics and Computer Science, Jagiellonian University, Łojasiewicza 6, 30-348 Kraków, Poland |
| Abstract: | |
| Keywords: | Brownian meander Brownian motion Fractional Brownian motion Girsanov’s theorem Persistence probability Processes conditioned to be positive |
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