Fractional Lévy stable motion: finite difference iterative forecasting model (Q2120387): Difference between revisions

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Language	Label	Description	Also known as
English	Fractional Lévy stable motion: finite difference iterative forecasting model	scientific article

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scholarly article

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Fractional Lévy stable motion: finite difference iterative forecasting model (English)

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Aleksey Kudreyko

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Chaos, Solitons and Fractals

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publication date

31 March 2022

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zbMATH Keywords

fractional Lévy stable motion

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long-range dependence

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stochastic differential equation

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forecasting model

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.chaos.2020.109632

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Prediction and tracking of long-range-dependent sequences

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Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process

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Record length requirement of long-range dependent teletraffic

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Transfer principle for $n$th order fractional Brownian motion with applications to prediction and equivalence in law

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Some fractional and multifractional Gaussian processes: A brief introduction

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Fractional Brownian motion: difference iterative forecasting models

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Fractal time series -- A tutorial review

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Combining Time Series Forecasting Methods for Internet Traffic

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A fuzzy approach to option pricing in a Levy process setting

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Fractional Lévy motions and related processes

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Can one see \(\alpha\)-stable variables and processes?

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On roughness indices for fractional fields

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Identification and properties of real harmonizable fractional Lévy motions

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Fractional Lévy processes with an application to long memory moving average processes

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From standard alpha-stable Lévy motions to horizontal visibility networks: dependence of multifractal and Laplacian spectrum

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Network heavy traffic modeling using α-stable self-similar processes

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On the relation between the fractional Brownian motion and the fractional derivatives

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The Pricing of Options and Corporate Liabilities

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Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).

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On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)

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On solutions of one-dimensional stochastic differential equations driven by stable Lévy motion

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Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence

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Itô's formula with respect to fractional Brownian motion and its application

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Monte Carlo and quasi-Monte Carlo sampling

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CHAOS.2020.109632

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Sitelinks

Mathematics(1 entry)

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