Comparison of Multidimensional Marginals
Part of the B&SS — Bocconi & Springer Series book series (BS)
We compare, in a Gaussian setting, the multidimensional marginals of some peacocks and some 1-martingales which are associated to them via several methods.
KeywordsBrownian Motion Fractional Brownian Motion Brownian Sheet Hurst Index Convex Order
Unable to display preview. Download preview PDF.
© Springer-Verlag Italia 2011