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Real-space diffusion theory from quantum mechanics using analytic continuation. [PDF]
HeliyonSigalotti LDG, Rendón O, Luévano JR.
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Physical Review E, 2023
How do nonlinear clocks in time and/or space affect the fundamental properties of a stochastic process? Specifically, how precisely may ergodic processes such as fractional Brownian motion (FBM) acquire predictable nonergodic and aging features being ...
Yingjie Liang +3 more
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How do nonlinear clocks in time and/or space affect the fundamental properties of a stochastic process? Specifically, how precisely may ergodic processes such as fractional Brownian motion (FBM) acquire predictable nonergodic and aging features being ...
Yingjie Liang +3 more
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Optimization, 2022
This manuscript is concerned with the trajectory controllability of Hilfer fractional neutral stochastic differential equation having deviated arguments and mixed fractional Brownian motion with the Hurst parameter . The proposed Hilfer fractional system'
N. Durga, P. Muthukumar, Muslim Malik
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This manuscript is concerned with the trajectory controllability of Hilfer fractional neutral stochastic differential equation having deviated arguments and mixed fractional Brownian motion with the Hurst parameter . The proposed Hilfer fractional system'
N. Durga, P. Muthukumar, Muslim Malik
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Stochastic pseudo-parabolic equations with fractional derivative and fractional Brownian motion
Stochastic Analysis and Applications, 2021In this study, fractional stochastic pseudo-parabolic equations driven by fractional Brownian motion are investigated. This work aims at establishing existence, uniqueness, regularity results for mild solutions to an initial value problem for considered ...
Tran Ngoc Thach, N. Tuan
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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 +3 more
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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 +3 more
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Piecewise fractional Brownian motion
IEEE Transactions on Signal Processing, 2005Starting 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 +3 more
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Trading Fractional Brownian Motion
SIAM Journal on Financial Mathematics, 2017The authors consider a market with an asset price described by fractional Brownian motion, which can be traded with temporary nonlinear price impact. The asymptotically optimal strategies for the maximization of expected terminal wealth are obtained.
Guasoni P, Nika Z, Rasonyi M
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