Results 51 to 60 of about 92,103 (370)

Convergence to Weighted Fractional Brownian Sheets [PDF]

, 2008
We define weighted fractional Brownian sheets, which are a class of Gaussian random fields with four parameters that include fractional Brownian sheets as special cases, and we give some of their properties.
Garzón, Johanna
core   +3 more sources

Generating Diffusions with Fractional Brownian Motion

Communications in Mathematical Physics, 2022
AbstractWe study fast/slow systems driven by a fractional Brownian motion B with Hurst parameter $$H\in (\frac{1}{3}, 1]$$ H ∈ ( 1 3 , 1
Martin Hairer, Xue-Mei Li
openaire   +3 more sources

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
doaj   +1 more source

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
semanticscholar   +1 more source

Random walks at random times: Convergence to iterated L\'{e}vy motion, fractional stable motions, and other self-similar processes [PDF]

, 2013
For a random walk defined for a doubly infinite sequence of times, we let the time parameter itself be an integer-valued process, and call the orginal process a random walk at random time.
Jung, Paul, Markowsky, Greg
core   +1 more source

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

On Squared Fractional Brownian Motions [PDF]

, 2004
We have proved recently that fractional Brownian motions with Hurst parameter H in (0, 1/2) satisfy a remarkable property: their squares are infinitely divisible. In the Brownian motion case (the case H = 1/2), this property is completely understood thanks to stochastic calculus arguments.
Eisenbaum, N., Tudor, C.A.
openaire   +2 more sources

Approximate controllability of noninstantaneous impulsive Hilfer fractional integrodifferential equations with fractional Brownian motion

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, M. El-Borai, A. S. O. E. Bab, M. E. Ramadan, M. E. Ramadan   +4 more
semanticscholar   +1 more source

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