Results 101 to 110 of about 243,967 (218)
The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment
Discrete Dynamics in Nature and Society, 2015 Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian ...
Chao Wang, Shengwu Zhou, Jingyuan Yang
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Symmetric weighted odd-power variations of fractional Brownian motion and applications [PDF]
arXiv, 2017 We prove a non-central limit theorem for the symmetric weighted odd-power variations of the fractional Brownian motion with Hurst parameter H< 1/2. As applications, we study the asymptotic behavior of the trapezoidal weighted odd-power variations of the fractional Brownian motion and the fractional Brownian motion in Brownian time Z_t:= X_{Y_t}, t >= 0,
arxiv
Winding number of fractional Brownian motion [PDF]
Journal of Physics A: Mathematical and Theoretical, 2008 We find the exact winding number distribution of Riemann-Liouville fractional Brownian motion for large times in two dimensions using the propagator of a free particle. The distribution is similar to the Brownian motion case and it is of Cauchy type.
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Journal of Differential Equations, 2022 Guangjun Shen, Jie Xiang, Jiang-Lun Wu
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Mixed sub-fractional Brownian motion [PDF]
Random Operators and Stochastic Equations, 2014 Abstract A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional Brownian motion.
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High-frequency trading with fractional Brownian motion
Finance and Stochastics, 2019 In the high-frequency limit, conditionally expected increments of fractional Brownian motion converge to a white noise, shedding their dependence on the path history and the forecasting horizon and making dynamic optimisation problems tractable.
P. Guasoni, Y. Mishura, M. Rásonyi
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Benoît Mandelbrot and Fractional Brownian Motion
Statistical Science, 2013 Published in at http://dx.doi.org/10.1214/12-STS389 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org)
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Stability of a Class of Impulsive Neutral Stochastic Functional Partial Differential Equations
Discrete Dynamics in Nature and Society, 2020 In this paper, a class of impulsive neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion is investigated.
Yue Liu, Dehao Ruan
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Operator Fractional Brownian Motion and Martingale Differences [PDF]
arXiv, 2013 It is well known that martingale difference sequences are very useful in applications and theory. On the other hand, the operator fractional Brownian motion as an extension of the well-known fractional Brownian motion also plays important role in both applications and theory. In this paper, we study the relationship between them.
arxiv
FRACTIONAL BROWNIAN SHEET HOJA BROWNIANA FRACCIONAL
Revista Colombiana de Estadística, 2005 Fractional brownian sheet or two parameter fractional brownian motion and some important properties with selfsimilar and stationary increments are presented.
Blanco Castañeda Liliana +1 more
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