Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations (Q1766606): Difference between revisions

The article presents and compares the main properties of real-valued fractional Brownian motion and complex-valued (fractional) Brownian motion of order \(n\). For Hurst parameter less than \(1/2\), i.e. \(n\) greater than 2, they show similar behavior, whereas for Hurst parameter greater than \(1/2\) fractional Brownian motion has no counterpart with respect to complex-valued Brownian motion of order \(n\). These differences are illustrated by examples. In addition, the article discusses the relation of (fractional) Fokker-Planck equations with stochastic differential equations. Unfortunately the article suffers from incomplete and not precise statements and typos. This makes it difficult to follow the argumentation and to finally understand the facts, which should be nonetheless mathematically sound.