Results 11 to 20 of about 92,103 (370)
Impulsive stochastic fractional differential equations driven by fractional Brownian motion
Advances in Difference Equations, 2020 In this research, we study the existence and uniqueness results for a new class of stochastic fractional differential equations with impulses driven by a standard Brownian motion and an independent fractional Brownian motion with Hurst index 1 ...
Mahmoud Abouagwa, Feifei Cheng, Ji Li
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Isotropic Q-fractional Brownian motion on the sphere: regularity and fast simulation. [PDF]
Philos Trans A Math Phys Eng SciLang A, Müller B.
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Fractional Brownian motion [PDF]
, 2006 There are natural phenomena in which wide variability is commonly observed, most notably the weather. Any expectations of regularity, or independence of this year’s weather from the past or the future, are not borne out by tradition or folklore. Mandelbrot and Wallis [16.1] saw the essence of traditional knowledge expressed in the Old Testament ...
Oksana Banna +3 more
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Memory-multi-fractional Brownian motion with continuous correlations [PDF]
Physical Review Research, 2023 We propose a generalization of the widely used fractional Brownian motion (FBM), memory-multi-FBM (MMFBM), to describe viscoelastic or persistent anomalous diffusion with time-dependent memory exponent $\alpha(t)$ in a changing environment.
Wei Wang +8 more
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Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics. [PDF]
Extremes (Boston)Dȩbicki K, Ji L, Novikov S.
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Fractional Brownian motion in superharmonic potentials and non-Boltzmann stationary distributions [PDF]
Journal of Physics A: Mathematical and Theoretical, 2021 We study the stochastic motion of particles driven by long-range correlated fractional Gaussian noise (FGN) in a superharmonic external potential of the form U(x) ∝ x 2n ( n∈N ).
T. Guggenberger, A. Chechkin, R. Metzler
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Forecasting with fractional Brownian motion: a financial perspective [PDF]
Quantitative finance (Print), 2021 The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the non-Markovian ...
Matthieu Garcin
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Bayesian inference of scaled versus fractional Brownian motion [PDF]
Journal of Physics A: Mathematical and Theoretical, 2021 We present a Bayesian inference scheme for scaled Brownian motion, and investigate its performance on synthetic data for parameter estimation and model selection in a combined inference with fractional Brownian motion.
S. Thapa +5 more
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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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