Results 81 to 90 of about 243,967 (218)
A set-indexed fractional Brownian motion [PDF]
arXiv, 2005 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.
arxiv
Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion
Journal of Applied Mathematics, 2013 Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian ...
Di Pan +3 more
doaj +1 more source
A simple construction of the fractional Brownian motion
Stochastic Processes and their Applications, 2004 15 pages, 3 ...
openaire +5 more sources
Fractional Brownian motion with a reflecting wall
Physical Review E, 2018 6 pages, 6 figures.
Thomas Vojta +3 more
openaire +5 more sources
A strong uniform approximation of sub-fractional Brownian motion [PDF]
arXiv, 2012 Sub-fractional Brownian motion is a process analogous to fractional Brownian motion but without stationary increments. In \cite{GGL1} we proved a strong uniform approximation with a rate of convergence for fractional Brownian motion by means of transport processes.
arxiv
Nonparametric Regression with Subfractional Brownian Motion via Malliavin Calculus
Abstract and Applied Analysis, 2014 We study the asymptotic behavior of the sequence Sn=∑i=0n-1K(nαSiH1)(Si+1H2-SiH2), as n tends to infinity, where SH1 and SH2 are two independent subfractional Brownian motions with indices H1 and H2, respectively. K is a kernel function and the bandwidth
Yuquan Cang, Junfeng Liu, Yan Zhang
doaj +1 more source
Representation Formulae for the Fractional Brownian Motion [PDF]
, 2010 to appear in "S\'eminaire de Probabilit\'es"
openaire +5 more sources
Advances in Differential Equations, 2019 By using stochastic analysis, fractional analysis, compact semigroups and the Schauder fixed-point theorem, we discuss the approximate boundary controllability of a nonlocal Hilfer fractional stochastic differential system with fractional Brownian motion
H. Ahmed, M. El-Borai, M. E. Ramadan
semanticscholar +1 more source
Bayesian model selection with fractional Brownian motion [PDF]
Journal of Statistical Mechanics: Theory and Experiment, 2018 We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match well with the ...
J. Krog +4 more
semanticscholar +1 more source
On the sub-mixed fractional Brownian motion [PDF]
arXiv, 2012 Let ${S_t^H, t \geq 0} $ be a linear combination of a Brownian motion and of an independent sub-fractional Brownian motion with Hurst index $0 < H < 1$. Its main properties are studied and it is shown that $S^H $ can be considered as an intermediate process between a sub-fractional Brownian motion and a mixed fractional Brownian motion.
arxiv