Results 41 to 50 of about 34,973 (262)
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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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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Dimensional Properties of Fractional Brownian Motion [PDF]
Acta Mathematica Sinica, English Series, 2007 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wu, Dong Sheng, Xiao, Yi Min
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Mixed sub-fractional Brownian motion [PDF]
Random Operators and Stochastic Equations, 2014 Abstract A new extension of the sub-fractional Brownian motion, and thus of the Brownian motion, is introduced. It is a linear combination of a finite number of sub-fractional Brownian motions, that we have chosen to call the mixed sub-fractional Brownian motion.
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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
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Advanced Functional Materials, EarlyView.Cephalopod‐inspired photonic microparticles with dynamic structural coloration are fabricated via confined self‐assembly of linear block copolymers into ellipsoids containing stacked lamellae. Embedded superparamagnetic nanoparticles enable rapid magnetic alignment, restoring vivid, angle‐dependent color.
Gianluca Mazzotta +8 more
wiley +1 more source
Extremes of spherical fractional Brownian motion [PDF]
Extremes, 2019 Let $\{B_ (x), x \in \mathbb{S}^N\}$ be a fractional Brownian motion on the $N$-dimensional unit sphere $\mathbb{S}^N$ with Hurst index $ $. We study the excursion probability $\mathbb{P}\{\sup_{x\in T} B_ (x) > u \}$ and obtain the asymptotics as $u\to \infty$, where $T$ can be the entire sphere $\mathbb{S}^N$ or a geodesic disc on $\mathbb{S}^N$
Cheng, Dan, Liu, Peng
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Fractional Brownian fields, duality, and martingales
, 2006 In this paper the whole family of fractional Brownian motions is constructed as a single Gaussian field indexed by time and the Hurst index simultaneously. The field has a simple covariance structure and it is related to two generalizations of fractional
Dobrić, Vladimir, Ojeda, Francisco M.
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Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion [PDF]
, 2012 In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter $H>1/2$.
Besalú, Mireia, Rovira, Carles
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