Alternative micropulses and fractional Brownian motion
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Publication:1374631
DOI10.1016/S0304-4149(96)00089-0zbMATH Open0879.60076OpenAlexW2042963681WikidataQ127205804 ScholiaQ127205804MaRDI QIDQ1374631FDOQ1374631
Authors: Renata Cioczek-Georges, Benoît B. Mandelbrot 
Publication date: 10 December 1997
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4149(96)00089-0
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Cites Work
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Cited In (27)
- Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space
- Title not available (Why is that?)
- Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
- Multifractal analysis of sums of random pulses
- Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions
- Fractional multiple birth-death processes with birth probabilities \(\lambda _i(\Delta t)^\alpha +o((\Delta t)^\alpha)\)
- Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
- Some long-range dependence processes arising from fluctuations of particle systems
- A robust numerical solution to a time-fractional Black-Scholes equation
- Formal calculus for real‐valued fractional Brownian motions prospects in systems science
- Micropulses and different types of Brownian motion
- Self-similar random fields and rescaled random balls models
- Fractionalization of the complex-valued Brownian motion of order \(n\) using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics
- Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function
- Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
- A robust numerical scheme for a time-fractional Black-Scholes partial differential equation describing stock exchange dynamics
- Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
- From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series
- New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations
- On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
- On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- A Poisson bridge between fractional Brownian motion and stable Lévy motion
- Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
- A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG)
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- An approach via fractional analysis to non-linearity induced by coarse-graining in space
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