Results 31 to 40 of about 11,331 (217)
Fractional Brownian motion with a reflecting wall [PDF]
, 2018 Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion.
Vojta, Thomas, Wada, Alexander H. O.
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Integral representations of some functionals of fractional Brownian motion [PDF]
, 2011 We prove change of variables formulas [It\^o formulas] for functions of both arithmetic and geometric averages of geometric fractional Brownian motion. They are valid for all convex functions, not only for smooth ones.
Tikanmäki, Heikki
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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
Unravelling intermittent features in single particle trajectories by a local convex hull method [PDF]
, 2017 We propose a new model-free method to detect change points between distinct phases in a single random trajectory of an intermittent stochastic process. The local convex hull (LCH) is constructed for each trajectory point, while its geometric properties ...
Grebenkov, D. S., Lanoiselée, Y.
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Advances in Continuous and Discrete Models, 2022 AbstractIt is widely accepted that financial data exhibit a long-memory property or a long-range dependence. In a continuous-time situation, the geometric fractional Brownian motion is an important model to characterize the long-memory property in finance.
Sun, Lin, Chen, Jianxin, Lu, Xianggang
openaire +1 more source
On fractional smoothness and $L_p$-approximation on the Gaussian space [PDF]
, 2014 We consider Gaussian Besov spaces obtained by real interpolation and Riemann-Liouville operators of fractional integration on the Gaussian space and relate the fractional smoothness of a functional to the regularity of its heat extension. The results are
Geiss, Stefan, Toivola, Anni
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Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model
Journal of Applied Mathematics, 2014 The pricing problem of geometric average Asian option under fractional Brownian motion is studied in this paper. The partial differential equation satisfied by the option’s value is presented on the basis of no-arbitrage principle and fractional formula.
Yan Zhang +3 more
doaj +1 more source
Pitman estimators: An asymptotic variance revisited [PDF]
, 2012 We provide an analytic expression for the variance of ratio of integral functionals of fractional Brownian motion which arises as an asymptotic variance of Pitman estimators for a location parameter of independent identically distributed observations ...
Kordzakhia, N, Novikov, A
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Programmable Nanoscale Motion via Molecular Patterning on DNA Origami
Angewandte Chemie, EarlyView.DNA origami nanorods enable precise urease placement with tunable coverage and asymmetry, revealing that propulsion depends on a balance of catalytic loading and geometry. Maximum speed occurs at ∼25% end‐coverage and declines as enzyme distribution becomes more symmetrical.
Lars Paffen +6 more
wiley +2 more sources