Results 201 to 210 of about 243,967 (218)
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Trading Fractional Brownian Motion
SIAM Journal on Financial Mathematics, 2019In 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...
P. Guasoni, Zsolt Nika, M. Rásonyi
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Approximations for reflected fractional Brownian motion
Physical Review E, 2019Fractional Brownian motion is a widely used stochastic process that is particularly suited to model anomalous diffusion. We focus on capturing the mean and variance of fractional Brownian motion reflected at level 0. As explicit expressions or numerical techniques are not available, we base our analysis on Monte Carlo simulation.
Malsagov, A., Mandjes, M.
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Statistical analysis of superstatistical fractional Brownian motion and applications.
Physical Review E, 2019Recent advances in experimental techniques for complex systems and the corresponding theoretical findings show that in many cases random parametrization of the diffusion coefficients gives adequate descriptions of the observed fractional dynamics.
Arleta Maćkała, M. Magdziarz
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Stochastic Analysis and Applications, 2019
This paper concerns a class of mean field stochastic differential equations driven by fractional Brownian motion with Hurst parameter . The existence and uniqueness of almost automorphic solutions in distribution of mean field stochastic differential ...
Fengxi Chen, Xiaoying Zhang
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This paper concerns a class of mean field stochastic differential equations driven by fractional Brownian motion with Hurst parameter . The existence and uniqueness of almost automorphic solutions in distribution of mean field stochastic differential ...
Fengxi Chen, Xiaoying Zhang
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Pricing of perpetual American put option with sub-mixed fractional Brownian motion
Fractional Calculus and Applied Analysis, 2019The pricing problem of perpetual American put options is investigated when the underlying asset price follows a sub-mixed fractional Brownian motion process.
Feng Xu, Shengwu Zhou
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Deconvolution of fractional brownian motion
Journal of Time Series Analysis, 2002We show that a fractional Brownian motion with H′∈(0,1) can be represented as an explicit transformation of a fractional Brownian motion with index H ∈(0,1). In particular, when H′=½, we obtain a deconvolution formula (or autoregressive representation) for fractional Brownian motion.
Murad S. Taqqu, Vladas Pipiras
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Fractal (fractional) Brownian motion [PDF]
WIREs Computational Statistics, 2011 AbstractFractal Brownian motion, also called fractional Brownian motion (fBm), is a class of stochastic processes characterized by a single parameter called the Hurst parameter, which is a real number between zero and one. fBm becomes ordinary standard Brownian motion when the parameter has the value of one‐half. In this manner, it generalizes ordinary
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, 2017
In this paper, we are concerned with the stochastic averaging principle for stochastic differential equations (SDEs) with non-Lipschitz coefficients driven by fractional Brownian motion (fBm) of the Hurst parameter H ∈ (1 2, 1).
Yong Xu, B. Pei, Jiang-Lun Wu
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In this paper, we are concerned with the stochastic averaging principle for stochastic differential equations (SDEs) with non-Lipschitz coefficients driven by fractional Brownian motion (fBm) of the Hurst parameter H ∈ (1 2, 1).
Yong Xu, B. Pei, Jiang-Lun Wu
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The fractional mixed fractional Brownian motion
Statistics & Probability Letters, 2003We introduce the fractional mixed fractional Brownian motion and characterize the necessity part of its lower classes by an integral test.
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