Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type
From MaRDI portal
Publication:1965724
DOI10.1016/0375-9601(95)00627-FzbMath1020.60501WikidataQ127720230 ScholiaQ127720230MaRDI QIDQ1965724
Publication date: 8 February 2000
Published in: Physics Letters. A (Search for Journal in Brave)
Brownian motion (60J65) Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics (82B41)
Related Items (17)
Record length requirement of long-range dependent teletraffic ⋮ Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions ⋮ Semimartingale approximation of fractional Brownian motion and its applications ⋮ Langevin equation with two fractional orders ⋮ Whitening filter and innovations representation of self-similar process. ⋮ WHITE NOISE ANALYSIS: SOME APPLICATIONS IN COMPLEX SYSTEMS, BIOPHYSICS AND QUANTUM MECHANICS ⋮ Exponential stability of fractional stochastic differential equations with distributed delay ⋮ Riemann-Liouville and Weyl fractional oscillator processes ⋮ Fractional stochastic differential equations with applications to finance ⋮ Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates ⋮ 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 ⋮ On some possible generalizations of fractional Brownian motion. ⋮ Comment on ``A computational technique to classify several fractional Brownian motion processes ⋮ Fractional Poisson process. II
Cites Work
This page was built for publication: Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type