Results 31 to 40 of about 1,438,380 (264)

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 ...
Kloeden, Peter E., Kleptsyna, Marina L., Anh, Vo Van   +2 more
core   +1 more source

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

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

Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion

, 2022
Mixed fractional Brownian motion (MFBM) is a linear combination of a Brownian motion and an independent fractional Brownian motion which may overcome the problem of arbitrage, while a jump process in time series is another problem to be address in ...
S. N. I., Ibrahim, M. F., Laham, Ібрагім, С. Н. І., Лахам, М. Ф., Laham, M. F., Ibrahim, S. N. I.   +5 more
core   +1 more source

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

Impacts of Brownian motion and fractional derivative on the solutions of the stochastic fractional Davey-Stewartson equations

Demonstratio Mathematica, 2023
In this article, the stochastic fractional Davey-Stewartson equations (SFDSEs) that result from multiplicative Brownian motion in the Stratonovich sense are discussed.
Mohammed Wael W., Al-Askar Farah M., El-Morshedy Mahmoud   +2 more
doaj   +1 more source

Crossover dynamics of climate change models: Numerical simulations

Alexandria Engineering Journal, 2023
In this paper, two new climate change mathematical models are extended using the stochastic-deterministic piecewise hybrid fractional derivatives, where the hybrid fractional order operator is applied to extend the deterministic model and the fractional ...
N.H. Sweilam, S.M. AL-Mekhlafi, S.M. Hassan, N.R. Alsunaideh, A.E. Radwan   +4 more
doaj   +1 more source

Averaging dynamics driven by fractional Brownian motion [PDF]

, 2019
We consider slow / fast systems where the slow system is driven by fractional Brownian motion with Hurst parameter $H>{1\over 2}$. We show that unlike in the case $H={1\over 2}$, convergence to the averaged solution takes place in probability and the ...
Hairer, M, Hairer, Martin, Li, X-M, Li, Xue-Mei   +3 more
core   +1 more source

Asymptotic Growth of Sample Paths of Tempered Fractional Brownian Motions, with Statistical Applications to Vasicek-Type Models

Fractal and Fractional
Tempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) modify the power-law kernel in the moving average representation of fractional Brownian motion by introducing exponential tempering.
Yuliya Mishura, Kostiantyn Ralchenko
doaj   +1 more source

Fractional Brownian Motion and the Markov Property

Electronic Communications in Probability, 1998
9 ...
Coutin, Laure, Carmona, Philippe
openaire   +5 more sources