Results 31 to 40 of about 1,246,913 (311)
Multiscale Volatility Analysis for Noisy High-Frequency Prices
Risks, 2023 We present a multiscale analysis of the volatility of intraday prices from high-frequency data. Our multiscale framework includes a fractional Brownian motion and microstructure noise as the building blocks.
Tim Leung, Theodore Zhao
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The flashing Brownian ratchet and Parrondo’s paradox [PDF]
Royal Society Open Science, 2018 A Brownian ratchet is a one-dimensional diffusion process that drifts towards a minimum of a periodic asymmetric sawtooth potential. A flashing Brownian ratchet is a process that alternates between two regimes, a one-dimensional Brownian motion and a ...
S. N. Ethier, Jiyeon Lee
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, 2019 This open access textbook is the first to provide Business and Economics Ph.D. students with a precise and intuitive introduction to the formal backgrounds of modern financial theory. It explains Brownian motion, random processes, measures, and Lebesgue integrals intuitively, but without sacrificing the necessary mathematical formalism, making them ...
Löffler, Andreas, Kruschwitz, Lutz
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Physical Review Letters, 2010 We derive the generalized Markovian description for the non-equilibrium Brownian motion of a heated particle in a simple solvent with a temperature-dependent viscosity. Our analytical results for the generalized fluctuation-dissipation and Stokes-Einstein relations compare favorably with measurements of laser-heated gold nano-particles and provide a ...
Rings, Daniel +4 more
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A promising new energy source: The Brownian motion of nanoresonator arrays
EPJ Web of Conferences, 2014 It is proposed a device designed to extract the Brownian motion energy. Since Brownian motion is usually a whoolly disordered motion, the first step consists in putting it in order with resonators, the Brownian motion of which is organized.
Rattinacannou Jean-Selva
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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 ...
Kloeden, Peter E. +2 more
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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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Exact power spectra of Brownian motion with solid friction [PDF]
, 2012 The accepted version of 'Exact power spectra of Brownian motion with solid friction'(v1: 14 pages, 5 figures; v2: new figures, some text added, typos corrected) was first deposited by Touchette, H., at Cornell University Library Repository(ArXiv).
Prellberg, T, Just, W, Touchette, H
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Müntz linear transforms of Brownian motion [PDF]
, 2014 We consider a class of Volterra linear transforms of Brownian motion associated to a sequence of Müntz Gaussian spaces and determine explicitly their kernels; the kernels take a simple form when expressed in terms of Müntz-Legendre polynomials. These are
Wu, Ching-Tang, Alili, Larbi
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Hausdorff measure of arcs and Brownian motion on Brownian spatial trees [PDF]
, 2009 A Brownian spatial tree is defined to be a pair $(\mathcal{T},\phi)$, where $\mathcal{T}$ is the rooted real tree naturally associated with a Brownian excursion and φ is a random continuous function from $\mathcal{T}$ into ℝd such that, conditional on ...
Croydon, David A.
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