Results 101 to 108 of about 3,092 (108)

A note on the correlation matrix of fractional Brownian motion

International Mathematical Forum, 2019
Let XH(t) be a fractional Brownian motion with index H (1/2 < H < 1), and let Dn(t0, t1, . . . tn) (0 ≤ t0 < t1 < · · · < tn) denote the correlation matrix of {X(tk)−X(tk−1) : k = 1, . . . , n}. In this paper, we give an evaluation of detDn.
N. Kosugi
semanticscholar   +1 more source

Stochastic Calculus with a Special Generalized Fractional Brownian Motion

International Journal of Applied Mathematics and Simulation
This work is a first step toward developing a stochastic calculus theory with respect to the generalized fractional Brownian motion, which a recently introduced Gaussian process is extending both fractional and sub-fractional Brownian motions.
M. Zili
semanticscholar   +1 more source

Doubly Perturbed Neutral Stochastic Functional Equations Driven by Fractional Brownian Motion

, 2015
In this paper, we study a class of doubly perturbed neutral stochastic functional equations driven by fractional Brownian motion. Under some non-Lipschitz conditions, we will prove the existence and uniqueness of the solution to these equations by ...
Xu, Liping, Li, Zhi
semanticscholar   +1 more source

Mini-Workshop: Modern Applications of $s$-numbers and Operator Ideals

, 2015
The main aim of this mini-workshop was to present and discuss some modern applications of the functional-analytic concepts of s-numbers and operator ideals in areas like Numerical Analysis, Theory of Function Spaces, Signal Processing, Approximation ...
F. Cobos, D. Haroske, T. Kühn, T. Ullrich   +3 more
semanticscholar   +1 more source

Transportation Inequalities for Multivalued Stochastic Evolution Equations

, 2017
In this paper, using the Girsanov transformation argument, we establish Talagrand-type T2 inequalities under the d2 metric and the uniform metric d∞ for the law of the solution of a class multivalued stochastic evolution equations.
Xu, Liping, Li, Zhi
semanticscholar   +1 more source

Harnack inequalities and applications for stochastic functional differential equations driven by sub-fBm

, 2016
In this paper, Harnack inequalities are established for stochastic functional differential equations driven by sub-fractional Brownian motion(fBm) with Hurst parameter 0 < H < 1.
Liping Xu, Zhi Li
semanticscholar   +1 more source

Firm dynamics in the Radner-Shepp model

, 2015
In a model of corporate finance introduced by Radner and Shepp and its numerous variations, the optimal dividend strategy was the main interest of research. Firm’s dynamic properties like the probability of survival by the given time and the average flow
Radionov Stanislav, I. Pospelov
semanticscholar   +1 more source

Fractional Brownian Motion in Finance

, 2003
B. Øksendal
semanticscholar   +1 more source