Results 61 to 70 of about 3,960 (256)
Abstract and Applied Analysis, 2014 Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that
Kaili Xiang, Yindong Zhang, Xiaotong Mao
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A simple construction of the fractional Brownian motion
Stochastic Processes and their Applications, 2004 15 pages, 3 ...
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ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION [PDF]
Probability in the Engineering and Informational Sciences, 2003 This article focuses on simulating fractional Brownian motion (fBm). Despite the availability of several exact simulation methods, attention has been paid to approximate simulation (i.e., the output is approximately fBm), particularly because of possible time savings. In this article, we study the class of approximate methods that are based on the
Dieker, A.B., Mandjes, M.R.H.
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Advanced Intelligent Discovery, EarlyView.Predictive models successfully screen nanoparticles for toxicity and cellular uptake. Yet, complex biological dynamics and sparse, nonstandardized data limit their accuracy. The field urgently needs integrated artificial intelligence/machine learning, systems biology, and open‐access data protocols to bridge the gap between materials science and safe ...
Mariya L. Ivanova +4 more
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On the wavelet transform of fractional Brownian motion [PDF]
IEEE Transactions on Information Theory, 1991 A theorem characterizing fractional Brownian motion by the covariance structure of its wavelet transform is established. The authors examine whether there are alternate Gaussian processes whose wavelet transforms have a natural covariance structure.
Jayakumar Ramanathan, Ofer Zeitouni
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Human‐in‐the‐Loop Swarms: A Bionic Swarm Approach to Real‐World Soil Mapping
Advanced Intelligent Systems, EarlyView.This article introduces the “Bionic Swarm,” a novel system that lowers the barriers to real‐world swarm validation by abstracting difficult hardware tasks to app‐guided human agents. We demonstrate the system's utility through the experimental validation of a geotechnical soil‐mapping swarm algorithm and show superior performance to baseline approaches
Petras Swissler +5 more
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Identification of the Multivariate Fractional Brownian Motion [PDF]
IEEE Transactions on Signal Processing, 2011 This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p$-multivariate self-similar Gaussian process parameterized by $p$ different Hurst exponents $H_i$, $p$ scaling coefficients $σ_i$ (of each component) and ...
Amblard, Pierre-Olivier +1 more
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Mathematics, 2020 We introduce three new estimators of the drift parameter of a fractional Ornstein–Uhlenbeck process. These estimators are based on modifications of the least-squares procedure utilizing the explicit formula for the process and covariance structure of a ...
Pavel Kříž, Leszek Szała
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Nonlinear Filtering with Fractional Brownian Motion [PDF]
Applied Mathematics and Optimization, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Asia-Pacific Journal of Chemical Engineering, EarlyView.ABSTRACT This study investigates the flow of a magnetized hybrid nanofluid over a permeable stretching surface. The mass and thermal transport within the system is regulated using the Cattaneo–Christov flux theory. The fluid is additionally subjected to thermophoresis, chemical reaction, Brownian motion, and activation energy effects.
Ebrahem A. Algehyne +6 more
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