Results 31 to 40 of about 35,260 (265)
Linear filtering with fractional Brownian motion in the signal and observation processes [PDF]
, 1999 Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h∈(3/4,1) and the noise in the observation process includes a ...
Anh, Vo Van +2 more
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Convergence to Weighted Fractional Brownian Sheets [PDF]
, 2008 We define weighted fractional Brownian sheets, which are a class of Gaussian random fields with four parameters that include fractional Brownian sheets as special cases, and we give some of their properties.
Garzón, Johanna
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Generating Diffusions with Fractional Brownian Motion
Communications in Mathematical Physics, 2022 AbstractWe study fast/slow systems driven by a fractional Brownian motion B with Hurst parameter $$H\in (\frac{1}{3}, 1]$$ H ∈ ( 1 3 , 1
Martin Hairer, Xue-Mei Li
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Asset Pricing Model Based on Fractional Brownian Motion
Fractal and Fractional, 2022 This paper introduces one unique price motion process with fractional Brownian motion. We introduce the imaginary number into the agent’s subjective probability for the reason of convergence; further, the result similar to Ito Lemma is proved.
Yu Yan, Yiming Wang
doaj +1 more source
Random walks at random times: Convergence to iterated L\'{e}vy motion, fractional stable motions, and other self-similar processes [PDF]
, 2013 For a random walk defined for a doubly infinite sequence of times, we let the time parameter itself be an integer-valued process, and call the orginal process a random walk at random time.
Jung, Paul, Markowsky, Greg
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重分数布朗运动的列维连续模(Lévy's moduli of continuity of multifractional Brownian motion)
Zhejiang Daxue xuebao. Lixue ban, 2000 This paper proposed Lévy's moduli of continuity of multifractional Brownian motion,which is a generalization of the fractional Brownian motion.
LINZheng-yan(林正炎)
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On Squared Fractional Brownian Motions [PDF]
, 2004 We have proved recently that fractional Brownian motions with Hurst parameter H in (0, 1/2) satisfy a remarkable property: their squares are infinitely divisible. In the Brownian motion case (the case H = 1/2), this property is completely understood thanks to stochastic calculus arguments.
Eisenbaum, N., Tudor, C.A.
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Ball throwing on spheres [PDF]
, 2009 Ball throwing on Euclidean spaces has been considered for a while. A suitable renormalization leads to a fractional Brownian motion as limit object. In this paper we investigate ball throwing on spheres.
Estrade, Anne, Istas, Jacques
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Fractal and FractionalTempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) modify the power-law kernel in the moving average representation of fractional Brownian motion by introducing exponential tempering.
Yuliya Mishura, Kostiantyn Ralchenko
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A fractional Brownian field indexed by $L^2$ and a varying Hurst parameter [PDF]
, 2014 Using structures of Abstract Wiener Spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of fractional ...
Richard, Alexandre
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