Results 41 to 50 of about 243,967 (218)
How Does Tempering Affect the Local and Global Properties of Fractional Brownian Motion? [PDF]
Journal of theoretical probability, 2020 The present paper investigates the effects of tempering the power law kernel of the moving average representation of a fractional Brownian motion (fBm) on some local and global properties of this Gaussian stochastic process.
E. Azmoodeh, Y. Mishura, Farzad Sabzikar
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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
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Search efficiency of discrete fractional Brownian motion in a random distribution of targets
Physical Review Research, 2021 Efficiency of search for randomly distributed targets is a prominent problem in many branches of the sciences. For the stochastic process of Lévy walks, a specific range of optimal efficiencies was suggested under variation of search intrinsic and ...
S. Mohsen J. Khadem +2 more
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Boundary Value Problems, 2020 We introduce the investigation of approximate controllability for a new class of nonlocal and noninstantaneous impulsive Hilfer fractional neutral stochastic integrodifferential equations with fractional Brownian motion.
H. Ahmed +4 more
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Operator Fractional Brownian Motion and Martingale Differences
Abstract and Applied Analysis, 2014 It is well known that martingale difference sequences are very useful in applications and theory. On the other hand, the operator fractional Brownian motion as an extension of the well-known fractional Brownian motion also plays an important role in both
Hongshuai Dai +2 more
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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
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Fractional martingales and characterization of the fractional Brownian motion [PDF]
The Annals of Probability, 2009 Published in at http://dx.doi.org/10.1214/09-AOP464 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Hu, Y, Song, J, Nualart, D
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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
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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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Averaging dynamics driven by fractional Brownian motion [PDF]
Annals of Probability, 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 ...
Martin Hairer, Xue-Mei Li
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