Results 31 to 40 of about 3,960 (256)
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
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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. +2 more
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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 +4 more
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Fractional Brownian Motion and the Markov Property
Electronic Communications in Probability, 1998 9 ...
Coutin, Laure, Carmona, Philippe
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Fractal and FractionalTempered 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
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Modelling intermittent anomalous diffusion with switching fractional Brownian motion
New Journal of Physics, 2023 The stochastic trajectories of molecules in living cells, as well as the dynamics in many other complex systems, often exhibit memory in their path over long periods of time.
Michał Balcerek +4 more
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On two-dimensional fractional Brownian motion and fractional Brownian random field [PDF]
Journal of Physics A: Mathematical and General, 1998 As a generalization of one-dimensional fractional Brownian motion (1dfBm), we introduce a class of two-dimensional, self-similar, strongly correlated random walks whose variance scales with power law N(2) (H) (0 < H < 1). We report analytical results on the statistical size and shape, and segment distribution of its trajectory in the limit of large N ...
Qian, Hong +2 more
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A DYNAMICAL APPROACH TO FRACTIONAL BROWNIAN MOTION [PDF]
Fractals, 1994 Herein we develop a dynamical foundation for fractional Brownian motion. A clear relation is established between the asymptotic behavior of the correlation function and diffusion in a dynamical system. Then, assuming that scaling is applicable, we establish a connection between diffusion (either standard or anomalous) and the dynamical indicator known
MANNELLA, RICCARDO +2 more
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Option Pricing under the Subordinated Market Models
Discrete Dynamics in Nature and Society, 2022 This paper aims to study option pricing problem under the subordinated Brownian motion. Firstly, we prove that the subordinated Brownian motion controlled by the fractional diffusion equation has many financial properties, such as self-similarity ...
Longjin Lv, Changjuan Zheng, Luna Wang
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Are Fractional Brownian Motions Predictable? [PDF]
, 2011 We provide a device, called the local predictor, which extends the idea of the predictable compensator. It is shown that a fBm with the Hurst index greater than 1/2 coincides with its local predictor while fBm with the Hurst index smaller than 1/2 does not admit any local predictor.
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