Results 21 to 30 of about 92,103 (370)

pth moment exponential stability and convergence analysis of semilinear stochastic evolution equations driven by Riemann-Liouville fractional Brownian motion

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
doaj   +1 more source

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
doaj   +1 more source

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, Wei Wang, R. Metzler, I. Sokolov   +3 more
semanticscholar   +1 more source

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
doaj   +1 more source

Oscillatory Fractional Brownian Motion [PDF]

Acta Applicandae Mathematicae, 2013
The authors ``introduce oscillatory analogues of fractional Brownian motion [(fBm)], subfractional Brownian motion [(sfBm)] and other related long range dependent Gaussian processes.'' According to them, the oscillatory fractional Brownian motion (ofBm) is a centered Gaussian process \(\xi ^{H}\), with parameter \(H\in (1/2,1)\) and covariance function
Bojdecki, T., Gorostiza, L. G., Talarczyk, A.   +2 more
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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
doaj   +1 more source

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.
openaire   +2 more sources

Fractal Stochastic Processes on Thin Cantor-Like Sets

Mathematics, 2021
We review the basics of fractal calculus, define fractal Fourier transformation on thin Cantor-like sets and introduce fractal versions of Brownian motion and fractional Brownian motion. Fractional Brownian motion on thin Cantor-like sets is defined with
Alireza Khalili Golmankhaneh, Renat Timergalievich Sibatov   +1 more
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Averaging Principle for Caputo Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion with Delays

Complexity, 2021
In this article, we investigate a class of Caputo fractional stochastic differential equations driven by fractional Brownian motion with delays. Under some novel assumptions, the averaging principle of the system is obtained.
Pengju Duan, Hao Li, Jie Li, Pei Zhang
doaj   +1 more source

The Influence of Multiplicative Noise and Fractional Derivative on the Solutions of the Stochastic Fractional Hirota–Maccari System

Axioms, 2022
We address here the space-fractional stochastic Hirota–Maccari system (SFSHMs) derived by the multiplicative Brownian motion in the Stratonovich sense. To acquire innovative elliptic, trigonometric and rational stochastic fractional solutions, we employ ...
Farah M. Al-Askar, Wael W. Mohammed, Clemente Cesarano, M. El-Morshedy   +3 more
doaj   +1 more source