Results 101 to 110 of about 92,103 (370)
On two-dimensional fractional Brownian motion and fractional Brownian random field [PDF]
Journal of Physics A: Mathematical and General, 1998 As a generalization of one-dimensional fractional Brownian motion (1dfBm), we introduce a class of two-dimensional, self-similar, strongly correlated random walks whose variance scales with power law N(2) (H) (0 < H < 1). We report analytical results on the statistical size and shape, and segment distribution of its trajectory in the limit of large N ...
Qian, Hong +2 more
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Asymptotic theory for fractional regression models via Malliavin calculus
, 2010 We study the asymptotic behavior as $n\to \infty$ of the sequence $$S_{n}=\sum_{i=0}^{n-1} K(n^{\alpha} B^{H_{1}}_{i}) (B^{H_{2}}_{i+1}-B^{H_{2}}_{i})$$ where $B^{H_{1}}$ and $B^{H_{2}}$ are two independent fractional Brownian motions, $K$ is a kernel ...
Bourguin, Solesne, Tudor, Ciprian
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Asia-Pacific Journal of Chemical Engineering, EarlyView.ABSTRACT The exceptional characteristics of nanofluids have turned out to be a significant development in revolutionizing heat transfer mechanisms in several electronic cooling devices and industrial manufacturing processes. The present study deals with the investigation of the second law of thermodynamics applied to the steady MHD fluid flow above a ...
Dixita Sonowal, Bidyasagar Kumbhakar
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Asia-Pacific Journal of Chemical Engineering, EarlyView.ABSTRACT Hybrid nanofluids, known for their superior thermal and electrical conductivity, have demonstrated remarkable potential in enhancing the heat transfer capability of conventional base fluids. This study analyzes the effects of viscous dissipation and heat radiation on two‐dimensional unsteady incompressible squeezing flow transporting hybrid ...
Hajra Batool +3 more
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Abstract and Applied Analysis, 2014 Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that
Kaili Xiang, Yindong Zhang, Xiaotong Mao
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Synchronization for Fractional FitzHugh-Nagumo Equations with Fractional Brownian Motion [PDF]
, 2022 Xiuqi Huang, Hongfu Yang, Xiangjun Wang
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The Multiparameter Fractional Brownian Motion
, 2006 We define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence is relaxed. Relations with the
Herbin, Erick, Merzbach, Ely
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Journal of Applied Polymer Science, EarlyView.The use of polychloroprene is common in elastomeric adhesives. This study highlights the possible substitution of zinc oxide curing systems to a less hazardous metal complex, also evaluating the changes that higher surface area fillers can bring to the adhesive.
Gabriel Bachega Rosa +3 more
wiley +1 more source
Mathematics, 2020 We introduce three new estimators of the drift parameter of a fractional Ornstein–Uhlenbeck process. These estimators are based on modifications of the least-squares procedure utilizing the explicit formula for the process and covariance structure of a ...
Pavel Kříž, Leszek Szała
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Risk preference based option pricing in a fractional Brownian market [PDF]
We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation.
Rostek, Stefan, Schöbel, Rainer
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