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most citedA fractional Brownian -- Hawkes model for the Italian electricity spot market: estimation and forecasting

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math.PR2020

A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion

Francesco C. De Vecchi, Luca M. Giordano, Daniela Morale +1

Within the rough path framework we prove the continuity of the solution to random differential equations driven by fractional Brownian motion with respect to the Hurst parameter $H…