Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type

DOI10.1016/0375-9601(95)00627-FMaRDI QIDQ1965724zbMATH OpenWikidataFDO

Authors Yanyan Li

Publication date 8 February 2000

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0375-9601(95)00627-F

Mathematics Subject Classification ID

Brownian motion (60J65) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)

Cites work

• Fractional Brownian Motions, Fractional Noises and Applications
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• scientific article; zbMATH DE number 3794378 (Why is no real title available?)
• On the spectra of Riemann-Liouville fractional Brownian motion

Cited in

(19)

• Whitening filter and innovations representation of self-similar process.
• On some possible generalizations of fractional Brownian motion.
• Record length requirement of long-range dependent teletraffic
• Exponential stability of fractional stochastic differential equations with distributed delay
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
• A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations
• Comment on ``A computational technique to classify several fractional Brownian motion processes
• Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
• Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions
• Riemann-Liouville and Weyl fractional oscillator processes
• Large deviation principle for Volterra type fractional stochastic volatility models
• White noise analysis: some applications in complex systems, biophysics and quantum mechanics
• Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates
• Semimartingale approximation of fractional Brownian motion and its applications
• Langevin equation with two fractional orders
• Fractional stochastic differential equations with applications to finance
• Path-integrals and optimal paths for the fractional Ornstein-Uhlenbeck process
• Convergence in Hölder norms for Markovian approximations of stochastic Volterra equations
• Fractional Poisson process. II

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