Results 31 to 40 of about 1,580,924 (326)
Journal of Mathematics, 2022 In this paper, we consider the fractional-stochastic Boussinesq-Burger system (FSBBS) generated by the multiplicative Brownian motion. The Jacobi elliptic function techniques are used to create creative elliptic, hyperbolic, and rational fractional ...
Wael W. Mohammed +2 more
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Aging scaled Brownian motion [PDF]
Physical Review E, 2015 Scaled Brownian motion (SBM) is widely used to model anomalous diffusion of passive tracers in complex and biological systems. It is a highly non-stationary process governed by the Langevin equation for Brownian motion, however, with a power-law time dependence of the noise strength.
Safdari, Hadiseh +3 more
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Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
Fractal and Fractional, 2023 This study investigates the pricing formula for European options when the underlying asset follows a fuzzy mixed weighted fractional Brownian motion within a jump environment.
Feng Xu, Xiao-Jun Yang
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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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AIMS Mathematics, 2022 We consider the nonergodic Gaussian Ornstein-Uhlenbeck processes of the second kind defined by $ dX_t = \theta X_tdt+dY_t^{(1)}, t\geq 0, X_0 = 0 $ with an unknown parameter $ \theta > 0, $ where $ dY_t^{(1)} = e^{-t}dG_{a_{t}} $ and $ \{G_t, t\geq 0\}
Huantian Xie, Nenghui Kuang
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Limiting Behaviors for Brownian Motion Reflected on Brownian Motion [PDF]
Methods and Applications of Analysis, 2002 The authors study a law of iterated logarithm associated to a Brownian motion reflected to another independent Brownian motion.
Chen, X., Li, Wenbo
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Stochastic resetting in underdamped Brownian motion [PDF]
Journal of Statistical Mechanics: Theory and Experiment, 2018 We consider a single Brownian particle in one dimension in a medium at a constant temperature in the underdamped regime. We stochastically reset the position of the Brownian particle to a fixed point in the space with a constant rate r whereas its ...
D. Gupta
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ON THE QHASI CLASS AND ITS EXTENSION TO SOME GAUSSIAN SHEETS
International Journal for Computational Civil and Structural Engineering, 2022 Introduced in 2018 the generalized bifractional Brownian motion is considered as an element of the quasi-helix with approximately stationary increment class of real centered Gaussian processes conditioning by parameters.
Charles El-Nouty, Darya Filatova
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Exact distributions of the maximum and range of random diffusivity processes
New Journal of Physics, 2021 We study the extremal properties of a stochastic process x _t defined by the Langevin equation ${\dot {x}}_{t}=\sqrt{2{D}_{t}}\enspace {\xi }_{t}$ , in which ξ _t is a Gaussian white noise with zero mean and D _t is a stochastic ‘diffusivity’, defined as
Denis S Grebenkov +4 more
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Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 2009 Let $Z=(X,Y)$ be a planar Brownian motion, $\ZZ$ the filtration it generates, and $B$ a linear Brownian motion in the filtration $\ZZ$. One says that $B$ (or its filtration) is maximal if no other linear $\ZZ$-Brownian motion has a filtration strictly bigger than that of $B$.
Brossard, Jean +2 more
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