Fractional Lévy stable motion: finite difference iterative forecasting model
From MaRDI portal
Publication:2120387
DOI10.1016/j.chaos.2020.109632zbMath1483.60060OpenAlexW3004308661MaRDI QIDQ2120387
Ming Li, He Liu, Aleksey Kudreyko, Enrico Zio, Wan-Qing Song
Publication date: 31 March 2022
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2020.109632
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Long-range dependence and heavy tail characteristics for remaining useful life prediction in rolling bearing degradation, Stability analysis of neural network controller based on event triggering, Generalized fractional Gaussian noise and its application to traffic modeling, Quantitative control of nonlinear systems based on an event trigger mechanism
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On the relation between the fractional Brownian motion and the fractional derivatives
- Itô's formula with respect to fractional Brownian motion and its application
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
- Fractal time series -- A tutorial review
- On solutions of one-dimensional stochastic differential equations driven by stable Lévy motion
- Can one see \(\alpha\)-stable variables and processes?
- Identification and properties of real harmonizable fractional Lévy motions
- Record length requirement of long-range dependent teletraffic
- On roughness indices for fractional fields
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
- Fractional Brownian motion: difference iterative forecasting models
- On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
- Prediction and tracking of long-range-dependent sequences
- Monte Carlo and quasi-Monte Carlo sampling
- Fractional Lévy processes with an application to long memory moving average processes
- Some fractional and multifractional Gaussian processes: A brief introduction
- Combining Time Series Forecasting Methods for Internet Traffic
- Fractional Lévy motions and related processes
- Network heavy traffic modeling using α-stable self-similar processes
- From standard alpha-stable Lévy motions to horizontal visibility networks: dependence of multifractal and Laplacian spectrum
- Empirical Likelihood for a Long Range Dependent Process Subordinated to a Gaussian Process
- Transfer principle for $n$th order fractional Brownian motion with applications to prediction and equivalence in law
- A fuzzy approach to option pricing in a Levy process setting