Derivative of the expected supremum of fractional Brownian motion at [Formula: see text]
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The H-derivative of the expected supremum of fractional Brownian motion { B H ( t ) , t ∈ R + } with drift a ∈ R over time interval [0, T] ∂ ∂ H E ( sup t ∈ [ 0 , T ] B H ( t ) - a t ) at H = 1 is found. This formu... ...
