Results 31 to 40 of about 37,974 (331)
Linear filtering with fractional Brownian motion in the signal and observation processes [PDF]
, 1999 Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h∈(3/4,1) and the noise in the observation process includes a ...
Anh, Vo Van +2 more
core +2 more sources
Anticipated BSDEs Driven by Fractional Brownian Motion with a Time-Delayed Generator
Mathematics, 2023 This article describes a new form of an anticipated backward stochastic differential equation (BSDE) with a time-delayed generator driven by fractional Brownian motion, further known as fractional BSDE, with a Hurst parameter H∈(1/2,1).
Pei Zhang +2 more
doaj +1 more source
Convergence to Weighted Fractional Brownian Sheets [PDF]
, 2008 We define weighted fractional Brownian sheets, which are a class of Gaussian random fields with four parameters that include fractional Brownian sheets as special cases, and we give some of their properties.
Garzón, Johanna
core +3 more sources
Mixed Fractional Brownian Motion [PDF]
Bernoulli, 2001 Let \(B\) be the standard Brownian motion and \(B^H\) fractional Brownian motion with Hurst index \(H\in (0,1]\). If the Brownian motion \(B\) and the fractional Brownian motion \(B^H\) are independent and \(\alpha\in\mathbb{R} \setminus \{0\}\), define the mixed fractional Brownian motion \(M^{H,\alpha}\) by \(M^{H,\alpha} \doteq B+\alpha B^H\).
openaire +3 more sources
Asset Pricing Model Based on Fractional Brownian Motion
Fractal and Fractional, 2022 This paper introduces one unique price motion process with fractional Brownian motion. We introduce the imaginary number into the agent’s subjective probability for the reason of convergence; further, the result similar to Ito Lemma is proved.
Yu Yan, Yiming Wang
doaj +1 more source
重分数布朗运动的列维连续模(Lévy's moduli of continuity of multifractional Brownian motion)
Zhejiang Daxue xuebao. Lixue ban, 2000 This paper proposed Lévy's moduli of continuity of multifractional Brownian motion,which is a generalization of the fractional Brownian motion.
LINZheng-yan(林正炎)
doaj +1 more source
Arbitrage with Fractional Brownian Motion [PDF]
Mathematical Finance, 1997 Fractional Brownian motion has been suggested as a model for the movement of log share prices which would allow long–range dependence between returns on different days. While this is true, it also allows arbitrage opportunities, which we demonstrate both indirectly and by constructing such an arbitrage.
openaire +2 more sources
Prediction law of fractional Brownian motion [PDF]
Statistics & Probability Letters, 2017 We calculate the regular conditional future law of the fractional Brownian motion with index $H\in(0,1)$ conditioned on its past. We show that the conditional law is continuous with respect to the conditioning path. We investigate the path properties of the conditional process and the asymptotic behavior of the conditional covariance.
Viitasaari, Lauri, Sottinen, Tommi
openaire +6 more sources
Generalized fractional Brownian motion
Modern Stochastics: Theory and Applications, 2017 We introduce a new Gaussian process, a generalization of both fractional and subfractional Brownian motions, which could serve as a good model for a larger class of natural phenomena.
Mounir Zili
doaj +1 more source
Ball throwing on spheres [PDF]
, 2009 Ball throwing on Euclidean spaces has been considered for a while. A suitable renormalization leads to a fractional Brownian motion as limit object. In this paper we investigate ball throwing on spheres.
Estrade, Anne, Istas, Jacques
core +7 more sources