Results 11 to 20 of about 243,967 (218)
Asymptotics of the Persistence Exponent of Integrated Fractional Brownian Motion and Fractionally Integrated Brownian Motion [PDF]
Theory of Probability & Its Applications, 2022 Рассматривается вероятность персистентности для интегрированного дробного броуновского движения и дробно интегрированного броуновского движения с параметром $H$. Для интегрированного дробного броуновского движения обсуждается гипотеза Молчана- Хохлова и устанавливается асимптотическое поведение показателя персистентности при $H\to0$ и при $H\to1 ...
Aurzada, Frank, Kilian, Martin
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Results on the Supremum of Fractional Brownian Motion [PDF]
Hacettepe Journal of Mathematics and Statistics, 2009 14
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Mathematics, 2021 Based on the present studies about the application of approximative fractional Brownian motion in the European option pricing models, our goal in the article is that we adopt the creative model by adding approximative fractional stochastic volatility to ...
Ying Chang, Yiming Wang, Sumei Zhang
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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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Inertia triggers nonergodicity of fractional Brownian motion
bioRxiv, 2021 How related are the ergodic properties of the over- and underdamped Langevin equations driven by fractional Gaussian noise? We here find that for massive particles performing fractional Brownian motion (FBM) inertial effects not only destroy the stylized
Andrey G. Cherstvy +3 more
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AIMS Mathematics, 2022 Many works have been done on Brownian motion or fractional Brownian motion, but few of them have considered the simpler type, Riemann-Liouville fractional Brownian motion. In this paper, we investigate the semilinear stochastic evolution equations driven
Xueqi Wen, Zhi Li
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Asymptotic Normality of Parameter Estimators for~Mixed Fractional Brownian Motion with Trend
Austrian Journal of Statistics, 2023 We investigate the mixed fractional Brownian motion of the form Xt = θt+σWt +κBtH , driven by a standard Brownian motion W and a fractional Brownian motion B H with Hurst parameter H.
Kostiantyn Ralchenko, Mykyta Yakovliev
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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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Weighted Local Times of a Sub-fractional Brownian Motion as Hida Distributions
Jurnal Matematika Integratif, 2020 The sub-fractional Brownian motion is a Gaussian extension of the Brownian motion. It has the properties of self-similarity, continuity of the sample paths, and short-range dependence, among others.
Herry Pribawanto Suryawan
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Fractional Brownian Motions [PDF]
Acta Physica Polonica B, 2020 Properties of different models of fractional Brownian motions are discussed in detail. We shall collect here several possible ways of introducing and defining various possible fBms, discuss their properties, find how they are similar, and how they differ.
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