Results on the Supremum of Fractional Brownian Motion
, 2009 We show that the distribution of the square of the supremum of reflected fractional Brownian motion up to time a, with Hurst parameter-H greater than 1/2, is related to the distribution of its hitting time to level 1, using the self similarity property of fractional Brownian motion.
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The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]
The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
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Tracing the evolutionary history of the morpho‐anatomy of baculum in primates
The Anatomical Record, EarlyView.Abstract Animal morphology reflects both evolutionary history and present‐day adaptation. Male mammal copulatory structures such as the baculum (penile bone) are ideal for studying these processes because of their complexity and high interspecific variability. In primates, however, research has focused mostly on baculum length.
Federica Spani +3 more
wiley +1 more source
The Fractional OU Process: Term Structure Theory and Application [PDF]
The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Esben Hoeg, Per Frederiksen
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Integrated biorefinery for cellulosic ethanol and spherical nanolignin production from coconut waste
Biofuels, Bioproducts and Biorefining, EarlyView.Abstract Green coconut waste was subjected to different fractionation methods to obtain integrated lignin nanoparticles and cellulosic ethanol. Pretreatment with gradual addition of dilute sulfuric acid provided a higher structural hemicellulose precursor yield (68.2%).
Ricardo Marchezan Farias de Mesquita +7 more
wiley +1 more source
Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index [PDF]
The Kolmogorov-Mandelbrot-van Ness Process is a zero mean Gaussian process indexed by the Hurst Parameter (H). When it models financial data, a controversy arises as to whether or not financial data exhibit short or long-range dependence.
Dominique, C-René +1 more
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Biotechnology and Bioengineering, EarlyView.ABSTRACT Virus‐like particles (VLPs) are a promising modality with extensive applications in prophylactic and therapeutic vaccine design. Human Papillomavirus (HPV) vaccines are one such example where VLP vaccine applications have led to the successful reduction in HPV‐associated diseases, such as cervical cancer.
Nicholas Samuelson +5 more
wiley +1 more source
Describing and Modeling Rough Composites Surfaces by Using Topological Data Analysis and Fractional Brownian Motion. [PDF]
Polymers (Basel), 2023 Runacher A +6 more
europepmc +1 more source
Representation Formulae for the Fractional Brownian Motion [PDF]
, 2010 to appear in "S\'eminaire de Probabilit\'es"
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The Confidence Limits of a Geometric Brownian Motion [PDF]
This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Power, Gabriel J., Turvey, Calum G.
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