Results 321 to 330 of about 92,103 (370)

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

Deconvolution of fractional brownian motion

Journal of Time Series Analysis, 2002
We 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.
Pipiras, Vladas, Taqqu, Murad S.
openaire   +2 more sources

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

The fractional mixed fractional Brownian motion

Statistics & Probability Letters, 2003
Let \(B_1\) and \(B_2\) be two independent fractional Brownian motions of Hurst index \(H_1\) and \(H_2\), respectively. Given real numbers \(\lambda_1\) and \(\lambda_2\), the two-parameter process \(Z\) is defined by \[ Z(w,s):= \lambda_1\,s^{H_2}\,B_1(w) + \lambda_2\,s^{H_1}\,B_2(w),\quad 0\leq w\leq s.
openaire   +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, Pagavathigounder Balasubramaniam   +1 more
semanticscholar   +1 more source

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

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

Tempered fractional Brownian motion

Statistics & Probability Letters, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Meerschaert, Mark M., Sabzikar, Farzad
openaire   +2 more sources

Approximations for reflected fractional Brownian motion

Physical Review E, 2019
Fractional 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.
openaire   +3 more sources

Spectral correlations of fractional Brownian motion

Physical Review E, 2006
Fractional Brownian motion (fBm) is a ubiquitous nonstationary model for many physical processes with power-law time-averaged spectra. In this paper, we exploit the nonstationarity to derive the full spectral correlation structure of fBm. Starting from the time-varying correlation function, we derive two different time-frequency spectral correlation ...
Tor Arne, Øigård, Alfred, Hanssen, Louis L, Scharf   +2 more
openaire   +2 more sources