Results 11 to 20 of about 1,268 (179)
Weighted Local Times of a Sub-fractional Brownian Motion as Hida Distributions [PDF]
Jurnal Matematika Integratif, 2020 The sub-fractional Brownian motion is a Gaussian extension of the Brownian motion. It has the properties of self-similarity, continuity of the sample paths, and short-range dependence, among others.
Herry Pribawanto Suryawan
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Adopting Feynman–Kac Formula in Stochastic Differential Equations with (Sub-)Fractional Brownian Motion [PDF]
Mathematics, 2022 The aim of this work is to establish and generalize a relationship between fractional partial differential equations (fPDEs) and stochastic differential equations (SDEs) to a wider class of stochastic processes, including fractional Brownian motions {BtH,
Bodo Herzog
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Search efficiency of discrete fractional Brownian motion in a random distribution of targets
Physical Review Research, 2021 Efficiency of search for randomly distributed targets is a prominent problem in many branches of the sciences. For the stochastic process of Lévy walks, a specific range of optimal efficiencies was suggested under variation of search intrinsic and ...
S. Mohsen J. Khadem +2 more
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Lévy Processes Linked to the Lower-Incomplete Gamma Function
Fractal and Fractional, 2021 We start by defining a subordinator by means of the lower-incomplete gamma function. This can be considered as an approximation of the stable subordinator, easier to be handled in view of its finite activity.
Luisa Beghin, Costantino Ricciuti
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Modern Stochastics: Theory and Applications, 2021 In this paper, we deal with an Ornstein–Uhlenbeck process driven by sub-fractional Brownian motion of the second kind with Hurst index $H\in (\frac{1}{2},1)$.
Maoudo Faramba Baldé, Khalifa Es-Sebaiy
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New Journal of Physics, 2021 Fractional Brownian motion (FBM) is a prevalent Gaussian stochastic process that has frequently been linked to subdiffusive motion in complex fluids, e.g. inside living cells.
Rebecca Benelli, Matthias Weiss
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Barrier Option Pricing in the Sub-Mixed Fractional Brownian Motion with Jump Environment
Fractal and Fractional, 2022 This paper investigates the pricing formula for barrier options where the underlying asset is driven by the sub-mixed fractional Brownian motion with jump.
Binxin Ji, Xiangxing Tao, Yanting Ji
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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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The generalized Bouleau-Yor identity for a sub-fractional Brownian motion [PDF]
Science China Mathematics, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yan, LiTan, He, Kun, Chen, Chao
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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
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