Fractionally integrated Bessel process

DOI10.1098/RSPA.2020.0934MaRDI QIDQ6985214zbMATH OpenFDO

Authors G. M. Shevchenko, Dmytro Zatula

Publication date 13 May 2025

Published in Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1098/RSPA.2020.0934

zbMATH Keywords

Bessel processfractional Brownian motion (fBm)Hurst parameterHölder continuity

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60)

Cites work

• Discretization error in simulation of one-dimensional reflecting Brownian motion
• Fractional Brownian motion in a nutshell
• Horizons of fractional Brownian surfaces
• Transient nearest neighbor random walk and Bessel process

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