Results 191 to 200 of about 243,967 (218)

Optimal controls for second‐order stochastic differential equations driven by mixed‐fractional Brownian motion with impulses

Mathematical methods in the applied sciences, 2020
We study optimal control problems for a class of second‐order stochastic differential equation driven by mixed‐fractional Brownian motion with non‐instantaneous impulses. By using stochastic analysis theory, strongly continuous cosine family, and a fixed
Rajesh Dhayal, Muslim Malik, Syed Abbas, A. Debbouche   +3 more
semanticscholar   +1 more source

Nonlinear-Drifted Fractional Brownian Motion With Multiple Hidden State Variables for Remaining Useful Life Prediction of Lithium-Ion Batteries

IEEE Transactions on Reliability, 2020
Lithium-ion rechargeable batteries are widely used in various electronic products and equipment due to their immense benefits in power supplying. The exact remaining useful life (RUL) prediction of lithium-ion batteries has shown excellent achievements ...
Heng Zhang, Zhenling Mo, Jianyu Wang, Q. Miao   +3 more
semanticscholar   +1 more source

On the prediction of fractional Brownian motion

Journal of Applied Probability, 1996
Integration with respect to the fractional Brownian motion Z with Hurst parameter is discussed. The predictor is represented as an integral with respect to Z, solving a weakly singular integral equation for the prediction weight function.
Gripenberg, Gustaf, Norros, Ilkka
openaire   +4 more sources

Piecewise fractional Brownian motion

IEEE Transactions on Signal Processing, 2005
Starting from fractional Brownian motion (fBm) of unique parameter H, a piecewise fractional Brownian motion (pfBm) of parameters Hi, Ho and gamma is defined. This new process has two spectral regimes: It behaves like an fBm of parameter Ho for low frequencies and like an fBm of parameter Hi for high frequencies .When Ho = Hi, or for limit cases, pfBm ...
Perrin, Emmanuel, Harba, Rachid, Iribarren, Ileana, Jennane, Rachid   +3 more
openaire   +6 more sources

Is it Brownian or fractional Brownian motion?

Economics Letters, 2016
Abstract Fractional Brownian motion embeds Brownian motion as a special case and offers more flexible diffusion component for pricing models. We propose test statistics based on bi-power variation for testing Brownian motion against fractional Brownian motion alternatives.
Yi Xue, Meiyu Li, Ramazan Gençay
openaire   +2 more sources

Trading Fractional Brownian Motion

SIAM Journal on Financial Mathematics, 2017
In a market with an asset price described by fractional Brownian motion, which can be traded with temporary nonlinear price impact, we find asymptotically optimal strategies for the maximization of expected terminal wealth. Exploiting the autocorrelation in increments while limiting trading costs, these strategies generate an average terminal wealth ...
Zsolt Nika, Miklós Rásonyi, Paolo Guasoni, Paolo Guasoni   +3 more
openaire   +2 more sources

Noninstantaneous impulsive and nonlocal Hilfer fractional stochastic integrodifferential equations with fractional Brownian motion and Poisson jumps

International journal of nonlinear sciences and numerical simulation, 2020
In this paper, we introduce the mild solution for a new class of noninstantaneous and nonlocal impulsive Hilfer fractional stochastic integrodifferential equations with fractional Brownian motion and Poisson jumps.
H. Ahmed, M. El-Borai, M. E. Ramadan
semanticscholar   +1 more source

Fractional neutral stochastic differential equations with Caputo fractional derivative: Fractional Brownian motion, Poisson jumps, and optimal control

, 2020
The objective of this paper is to investigate the existence of mild solutions and optimal controls for a class of fractional neutral stochastic differential equations (NSDEs) driven by fractional Brownian motion and Poisson jumps in Hilbert spaces. First,
K. Ramkumar, K. Ravikumar, S. Varshini
semanticscholar   +1 more source

Non-instantaneous impulsive Hilfer fractional stochastic differential equations driven by fractional Brownian motion

, 2020
The aim of this manuscript is to analyze the existence of mild solution of non-instantaneous impulsive Hilfer fractional stochastic differential equations (NIHFSDEs) driven by fractional Brownian motion (fBm).
S. Saravanakumar, P. Balasubramaniam
semanticscholar   +1 more source

Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets

Communications in statistics. Simulation and computation, 2020
Mixed fractional Brownian motion is a linear combination of Brownian motion and independent Fractional Brownian motion that is extensively used for option pricing.
Josephine Dufitinema, S. Pynnönen, T. Sottinen   +2 more
semanticscholar   +1 more source