Results 41 to 50 of about 37,159 (330)

The renormalization group and fractional Brownian motion [PDF]

Physics Letters A, 2002
We find that in generic field theories the combined effect of fluctuations and interactions leads to a probability distribution function which describes fractional Brownian Motion (fBM) and ``complex behavior''. To show this we use the Renormalization Group as a tool to improve perturbative calculations, and check that beyond the classical regime of ...
Juan Pérez-Mercader, David Hochberg
openaire   +4 more sources

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.
openaire   +3 more sources

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

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

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

Fractional Brownian motion in a nutshell [PDF]

International Journal of Modern Physics: Conference Series, 2015
This is an extended version of the lecture notes to a mini-course devoted to fractional Brownian motion and delivered to the participants of the 7th Jagna International Workshop.
openaire   +3 more sources

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, Agnieszka Wyłomańska, Krzysztof Burnecki, Ralf Metzler, Diego Krapf   +4 more
doaj   +1 more source

A fractional Brownian field indexed by $L^2$ and a varying Hurst parameter [PDF]

, 2014
Using structures of Abstract Wiener Spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of fractional ...
Richard, Alexandre
core   +5 more sources

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