Results 1 to 10 of about 1,180 (109)
Asymptotics of Karhunen–Loève Eigenvalues for Sub-Fractional Brownian Motion and Its Application
Fractal and Fractional, 2021 In the present paper, the Karhunen–Loève eigenvalues for a sub-fractional Brownian motion are considered. Rigorous large n asymptotics for those eigenvalues are shown, based on the functional analysis method.
Chun-Hao Cai, Jun-Qi Hu, Ying-Li Wang
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Hilfer-Katugampola fractional stochastic differential inclusions with Clarke sub-differential [PDF]
HeliyonThe objective of this paper is to investigate the existence of mild solutions and optimal controls for a class of stochastic Hilfer-Katugampola fractional differential inclusions (SHKFDIs) with non-instantaneous impulsive (NIIs) that is strengthened by ...
Noorah Mshary +3 more
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Generative inpainting of incomplete Euclidean distance matrices of trajectories generated by a fractional Brownian motion [PDF]
Scientific ReportsFractional Brownian motion (fBm) exhibits both randomness and strong scale-free correlations, posing a challenge for generative artificial intelligence to replicate the underlying stochastic process.
Alexander Lobashev +2 more
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Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion
Algorithms, 2018 In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractional Brownian motion: d X t = ( μ + θ X t ) d t + d S t H , t ≥ 0 with X 0 = 0 , where S H is a sub-fractional Brownian ...
Shengfeng Li, Yi Dong
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Estimating endogenous treatments effects under long-range dependency without untreated controls. [PDF]
PLoS ONEThe identification and estimation of social policy effects through time‑series natural experiments is fundamental in modern econometrics. However, challenges come from the heterogeneities caused by staggered treatment adoptions and the endogeneities ...
Shiming Hao
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ON THE QHASI CLASS AND ITS EXTENSION TO SOME GAUSSIAN SHEETS
International Journal for Computational Civil and Structural Engineering, 2022 Introduced in 2018 the generalized bifractional Brownian motion is considered as an element of the quasi-helix with approximately stationary increment class of real centered Gaussian processes conditioning by parameters.
Charles El-Nouty, Darya Filatova
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European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time
Fractal and Fractional, 2023 In this paper, the approximate stationarity of the second-order moment increments of the sub-fractional Brownian motion is given. Based on this, the pricing model for European options under the sub-fractional Brownian regime in discrete time is ...
Zhidong Guo, Yang Liu, Linsong Dai
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Mathematics, 2021 Fractional-order time and space derivatives are one way to augment the classical diffusion equation so that it accounts for the non-Gaussian processes often observed in heterogeneous materials.
Richard L. Magin, Ervin K. Lenzi
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Results in Physics, 2022 In this article, we consider the stochastic fractional-space long–short-wave interaction system (SFS-LSWIs) forced by multiplicative Brownian motion. To obtain a new exact stochastic fractional-space solutions, we apply two different methods such as sin ...
Wael W. Mohammed +6 more
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Demonstratio Mathematica, 2023 In this article, the stochastic fractional Davey-Stewartson equations (SFDSEs) that result from multiplicative Brownian motion in the Stratonovich sense are discussed.
Mohammed Wael W. +2 more
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