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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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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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Deterministic Brownian motion [PDF]
Physical Review A, 1992 The goal of this thesis is to contribute to the ambitious program of the foundation of developing statistical physics using chaos. We build a deterministic model of Brownian motion and provide a microscpoic derivation of the Fokker-Planck equation.
, Trefán, , Grigolini, , West
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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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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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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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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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Relativistic Brownian motion [PDF]
Physics Reports, 2009 review article, 159 pages, references updated, misprints corrected, App.
Dunkel, Jörn, Hänggi, Peter
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On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes
Mathematics, 2019 We investigate the main statistical parameters of the integral over time of the fractional Brownian motion and of a kind of pseudo-fractional Gaussian process, obtained as a classical Gauss−Markov process from Doob representation by replacing ...
Mario Abundo, Enrica Pirozzi
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Functionals of exponential Brownian motion and divided differences [PDF]
, 2011 We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential Brownian motion and ...
R. Brummelhuis +6 more
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