Fractional Brownian Motions, Fractional Noises and Applications

From MaRDI portal
Revision as of 03:41, 7 March 2024 by Import240305080351 (talk | contribs) (Created automatically from import240305080351)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:5570525

DOI10.1137/1010093zbMath0179.47801OpenAlexW2031753087WikidataQ56082669 ScholiaQ56082669MaRDI QIDQ5570525

Benoit B. Mandelbrot, John W. Van Ness

Publication date: 1968

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6a8fdcdf9eaaf2145252f0a4ee6520ef2cf3f476




Related Items (only showing first 100 items - show all)

The distance between rival nonstationary fractional processesTesting for structural change in regression with long memory processesBootstrap specification tests for linear covariance stationary processesFunctional limit theorems for generalized variations of the fractional Brownian sheetMoments of the position of the maximum for GUE characteristic polynomials and for log-correlated Gaussian processesFractional Brownian motion with Hurst index \({H = 0}\) and the Gaussian unitary ensembleUpper and lower bounds of integral operator defined by the fractional hypergeometric functionStochastic averaging of quasi-non-integrable Hamiltonian systems under fractional Gaussian noise excitationCorrecting the initialization of models with fractional derivatives via history-dependent conditionsThe Hurst phenomenon and the rescaled range statisticGoodness of fit assessment for a fractal model of stock marketsTempered fractional calculusDiffusion in heterogeneous media: an iterative scheme for finding approximate solutions to fractional differential equations with time-dependent coefficientsSolutions to BSDEs driven by both standard and fractional Brownian motionsProperties of a block bootstrap under long-range dependenceFractional electrostatic equations in fractal composite structuresSample size determination for group sequential test under fractional Brownian motionFractional generalized Hamiltonian mechanicsRegularity of laws and ergodicity of hypoelliptic SDEs driven by rough pathsKolmogorov numbers of Riemann-Liouville operators over small sets and applications to Gaussian processesRobust synchronization of incommensurate fractional-order chaotic systems via second-order sliding mode techniqueProbability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functionsComplex orbits in a second-order digital filter with sinusoidal responseFrom particles scale to anomalous or classical convection-diffusion models with path integralsDiscrete-time multi-scale systemsThe high-order SPDEs driven by multi-parameter fractional noisesFrom Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's seriesFokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processesMultiscale Lyapunov exponent for 2-microlocal functionsDistributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck processOn continuous-time autoregressive fractionally integrated moving average processesPower law Pólya's urn and fractional Brownian motionSelf-similarity and Lamperti convergence for families of stochastic processesStochastic integration for tempered fractional Brownian motionOn a class of self-similar processes with stationary increments in higher order Wiener chaosesCylindrical fractional Brownian motion in Banach spacesWavelet \(q\)-Fisher information for scaling signal analysisDegree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walksConfidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample sizeMild solutions for a class of fractional SPDEs and their sample pathsLong run behaviour of the autocovariance function of ARCH(\(\infty\)) models2-microlocal analysis of martingales and stochastic integralsModelling NASDAQ series by sparse multifractional Brownian motionOptimal space-time adaptive wavelet methods for degenerate parabolic PDEsAdaptive synchronization of fractional-order chaotic systems via a single driving variableSolving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approachBayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian processRatio test for variance change point in linear process with long memory2D wavelet-based spectra with applicationsLeft-inverses of fractional Laplacian and sparse stochastic processesCentral and non-central limit theorems in a free probability settingA review of empirical likelihood methods for time seriesA note on processes with random stationary incrementsAn approximate approach to fractional stochastic integration and its applicationsLandscape structure and the speed of adaptationMathematical model of stock prices via a fractional Brownian motion model with adaptive parametersThe \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processesIdentification of nonstandard multifractional Brownian motions under white noise by multiscale local variations of its sample pathsStochastic averaging principle for dynamical systems with fractional Brownian motionOn the continuity of characteristic functionals and sparse stochastic modelingOn the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)Identification of Hammerstein nonlinear ARMAX systems using nonlinear adaptive algorithmsA test of the null of integer integration against the alternative of fractional integrationMaximum likelihood estimation for the non-ergodic fractional Ornstein-Uhlenbeck processApproximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniquenessOn trees invariant under edge contractionThe stochastic resonance behaviors of a generalized harmonic oscillator subject to multiplicative and periodically modulated noisesA very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motionEmergence of biological complexity: criticality, renewal and memoryOn fractal nature of groundwater level fluctuations due to rainfall processThe Poisson aggregation processOn the conditional small ball property of multivariate Lévy-driven moving average processesThe use of a non-integer order PI controller with an active queue management mechanismMultifractality in fidelity sequences of optimized Toffoli gatesGeneralized fractional Laplace motionStochastic solutions of conformable fractional Cauchy problemsBond pricing under mixed generalized CIR model with mixed Wishart volatility processA foundational approach to the Lie theory for fractional order partial differential equationsEstimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic meanMaximizing information exchange between complex networksErgodicity of hypoelliptic SDEs driven by fractional Brownian motionSynthesis of multifractional Gaussian noises based on variable-order fractional operatorsControl of discrete-time HMM partially observed under fractional Gaussian noisesA semiparametric two-step estimator in a multivariate long memory modelMultivariate Wavelet Whittle Estimation in Long-range DependenceTwo-channel nonseparable wavelets statistically matched to 2-D imagesOn the relation between the fractional Brownian motion and the fractional derivativesComputing the non-linear anomalous diffusion equation from first principlesA linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameterEstimation of the linear fractional stable motionLong memory estimation for complex-valued time seriesA wavelet lifting approach to long-memory estimationStrong asymptotic arbitrage in the large fractional binary marketBenoît Mandelbrot and fractional Brownian motionStochastic Korteweg-de Vries equation driven by fractional Brownian motionGroup sequential tests under fractional Brownian motion in monitoring clinical trialsStochastic averaging for slow-fast dynamical systems with fractional Brownian motion\(1/f^\alpha\) low frequency fluctuations in turbulent flows. Transitions with heavy-tailed distributed interevent durationsLeast-squares estimation of multifractional random fields in a Hilbert-valued contextA bootstrap causality test for covariance stationary processes




This page was built for publication: Fractional Brownian Motions, Fractional Noises and Applications