Results 51 to 60 of about 37,159 (330)
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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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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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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Fractional Brownian Motion and the Markov Property
Electronic Communications in Probability, 1998 9 ...
Coutin, Laure, Carmona, Philippe
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A series expansion of fractional Brownian motion [PDF]
Probability Theory and Related Fields, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
JH Harry van Zanten, KO Dzhaparidze
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An extension of sub-fractional Brownian motion [PDF]
Publicacions Matemàtiques, 2013 In this paper, firstly, we introduce and study a self-similar Gaussian process with parameters H ∈ (0; 1) and K ∈ (0; 1] that is an extension of the well known sub-fractional Brownian motion introduced by Bojdecki et al. [4]. Secondly, by using a decomposition in law of this process, we prove the existence and the joint continuity of its local time.
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A Set-indexed Fractional Brownian Motion [PDF]
Journal of Theoretical Probability, 2006 We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space. This process is a generalization of the set-indexed Brownian motion, when the condition of independance is relaxed. Relations with the Levy fractional Brownian motion and with the fractional Brownian sheet are studied.
Erick Herbin, Ely Merzbach
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FEBS Open Bio, EarlyView.Here, we introduced an intermittent electrical stimulation protocol mimicking the episodic nature of real‐life exercise in vitro by alternating low‐ and high‐frequency stimulation. In comparison with widely used continuous stimulation, it enhanced the rate of glucose and fatty acid oxidation, but not the myokine release.
Klára Gabrišová +11 more
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Advanced Engineering Materials, EarlyView.Molecular dynamics simulations are advancing the study of ribonucleic acid (RNA) and RNA‐conjugated molecules. These developments include improvements in force fields, long‐timescale dynamics, and coarse‐grained models, addressing limitations and refining methods.
Kanchan Yadav, Iksoo Jang, Jong Bum Lee
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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 ...
Hong Qian +2 more
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