Mixed fractional Brownian motion: a spectral take
From MaRDI portal
Publication:2011263
Abstract: This paper provides yet another look at the mixed fractional Brownian motion (fBm), this time, from the spectral perspective. We derive an approximation for the eigenvalues of its covariance operator, asymptotically accurate up to the second order. This in turn allows to compute the exact -small ball probabilities, previously known only at logarithmic precision. The obtained expressions show an interesting stratification of scales, which occurs at certain values of the Hurst parameter of the fractional component. Some of them have been previously encountered in other problems involving such mixtures.
Recommendations
- Small deviations for mixed fractional Brownian motion with trend and with Hurst index \(H>1/2\)
- Spectral analysis for some multifractional Gaussian processes
- Small ball constants and tight eigenvalue asymptotics for fractional Brownian motions
- The fractional mixed fractional brownian motion and fractional brownian sheet
- Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
Cites work
- Arbitrage in fractional Brownian motion models
- Asymptotic behavior of mixed power variations and statistical estimation in mixed models
- Asymptotic behaviour of the spectra of integral convolution operators on a finite interval with homogeneous polar kernels
- Asymptotic Distribution of Eigenvalues of the Kernel in the Kirkwood-Riseman Integral Equation
- Asymptotics of Karhunen-Loève eigenvalues and tight constants for probability distributions of passive scalar transport
- Comparison results for the lower tail of Gaussian seminorms
- Equivalence of Volterra processes.
- Exact L₂-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional processes as models in stochastic finance
- Gaussian processes: Inequalities, small ball probabilities and applications
- scientific article; zbMATH DE number 1808203 (Why is no real title available?)
- scientific article; zbMATH DE number 53539 (Why is no real title available?)
- scientific article; zbMATH DE number 1149759 (Why is no real title available?)
- scientific article; zbMATH DE number 3442917 (Why is no real title available?)
- Logarithmic L2-Small Ball Asymptotics for some Fractional Gaussian Processes
- Long-Range Dependence and Self-Similarity
- Mixed fractional Brownian motion
- Mixed Gaussian processes: a filtering approach
- On small deviation asymptotics in \(L_2\) of some mixed Gaussian processes
- On the exact asymptotics of small deviations of L₂-norm for some Gaussian random fields
- Optimization of small deviation for mixed fractional Brownian motion with trend
- Sharp asymptotics of the functional quantization problem for Gaussian processes.
- Small ball constants and tight eigenvalue asymptotics for fractional Brownian motions
- Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process
- Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
- When is a linear combination of independent fBm's equivalent to a single fBm?
Cited in
(15)- Small ball constants and tight eigenvalue asymptotics for fractional Brownian motions
- Sharp asymptotics in a fractional Sturm-Liouville problem
- On the eigenproblem for Gaussian bridges
- scientific article; zbMATH DE number 991571 (Why is no real title available?)
- Spectral analysis of Brownian motion with jump boundary
- On the spectra of Riemann-Liouville fractional Brownian motion
- Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
- Linear filtering with fractional noises: large time and small noise asymptotics
- Optimization of small deviation for mixed fractional Brownian motion with trend
- Small deviations for mixed fractional Brownian motion with trend and with Hurst index \(H>1/2\)
- Mixed fractional Brownian sheets and their applications
- The fractional mixed fractional brownian motion and fractional brownian sheet
- L₂-small ball asymptotics for Gaussian random functions: a survey
- How smooth is the drift of the mixed fractional Brownian motion?
- Spectral analysis for some multifractional Gaussian processes
This page was built for publication: Mixed fractional Brownian motion: a spectral take
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2011263)
