On the representation of fractional Brownian motion as an integral with respect to (dt)^a
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On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
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Cites work
- A class of micropulses and antipersistent fractional Brownian motion
- Alternative micropulses and fractional Brownian motion
- Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
- Fractional Brownian Motions, Fractional Noises and Applications
- ON FRACTIONAL INTEGRALS AND DERIVATIVES
- Stochastic analysis of the fractional Brownian motion
- Stochastic differential equations with fractional Brownian motion input
Cited in
(95)- Table of some basic fractional calculus formulae derived from a modified Riemann-Liouville derivative for non-differentiable functions
- Laplace's transform of fractional order via the Mittag-Leffler function and modified Riemann-Liouville derivative
- An approach via fractional analysis to non-linearity induced by coarse-graining in space
- An \(S\)-transform approach to integration with respect to a fractional Brownian motion
- Fractional randomness
- Existence and uniqueness of solutions for stochastic differential equations of fractional-order \(q > 1\) with finite delays
- Counterexamples on Jumarie's three basic fractional calculus formulae for non-differentiable continuous functions
- Micropolar continuum mechanics of fractal media
- On analysis of fractional Navier-Stokes equations via nonsingular solutions and approximation
- Variational methods for a fractional Dirichlet problem involving Jumarie's derivative
- Solving a system of fractional partial differential equations arising in the model of HIV infection of \(\mathrm{CD4}^{+}\) cells and attractor one-dimensional Keller-Segel equations
- New iteration methods for time-fractional modified nonlinear Kawahara equation
- Exact traveling wave solutions to the fractional coupled nonlinear Schrödinger equations
- Local fractional homotopy analysis method for solving non-differentiable problems on Cantor sets
- Derivation of an amplitude of information in the setting of a new family of fractional entropies
- Waves in fractal media
- Local fractional Fourier series with application to wave equation in fractal vibrating string
- An approach to differential geometry of fractional order via modified Riemann-Liouville derivative
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Two novel approaches to capture the maximum power from variable speed wind turbines using optimal fractional high-order fast terminal sliding mode control
- The arbitrary-order fractional hyperbolic nonlinear scalar conservation law
- Fractional Lévy stable motion: finite difference iterative forecasting model
- The stability with general decay rate of hybrid stochastic fractional differential equations driven by Lévy noise with impulsive effects
- Impulsive stochastic fractional differential equations driven by fractional Brownian motion
- Stability of a non-Lipschitz stochastic Riemann-Liouville type fractional differential equation driven by Lévy noise
- Fractional Brownian motion: difference iterative forecasting models
- On the fractional solution of the equation \(f(x+y)=f(x)f(y)\) and its application to fractional Laplace's transform
- Fractional order stochastic differential equation with application in European option pricing
- Local fractional Laplace homotopy analysis method for solving non-differentiable wave equations on Cantor sets
- Lagrange characteristic method for solving a class of nonlinear partial differential equations of fractional order
- A general iteration formula of VIM for fractional heat- and wave-like equations
- Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space
- Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
- Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
- Path integral for the probability of the trajectories generated by fractional dynamics subject to Gaussian white noise
- Modeling fractional stochastic systems as non-random fractional dynamics driven by Brownian motions
- Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
- New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations
- On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
- Fractionalization of the complex-valued Brownian motion of order \(n\) using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics
- A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG)
- Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models
- Modified homotopy perturbation method and approximate solutions to a class of local fractional integrodifferential equations
- On existence and continuity results of solution for multi-time scale fractional stochastic differential equation
- On group invariant solutions of fractional order Burgers-Poisson equation
- From fractal media to continuum mechanics
- An approach to study elastic vibrations of fractal cylinders
- Subjective observation via informational invariance results in creation of fractals and self‐similar processes of fractional order
- Comparison principle and stability for a class of stochastic fractional differential equations
- Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion
- The stability of the positive solution for a fractional SIR model
- Note on extended hypergeometric function
- The first integral method for Wu-Zhang system with conformable time-fractional derivative
- Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
- Nonlinear fractional Jaulent-Miodek and Whitham-Broer-Kaup equations within Sumudu transform
- The time-fractional coupled-Korteweg-de-Vries equations
- Path probability of random fractional systems defined by white noises in coarse-grained time. Application of fractional entropy
- Stochastic fractional differential equations driven by Lévy noise under Carathéodory conditions
- Fractal solids, product measures and continuum mechanics
- Numerical solutions of coupled nonlinear fractional KdV equations using He’s fractional calculus
- Thermo-poromechanics of fractal media
- Averaging principle and stability of hybrid stochastic fractional differential equations driven by Lévy noise
- Optimal index and averaging principle for Itô-Doob stochastic fractional differential equations
- An averaging principle for neutral stochastic fractional order differential equations with variable delays driven by Lévy noise
- A new type of the Gronwall-Bellman inequality and its application to fractional stochastic differential equations
- Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
- Approximation properties for solutions to Itô-Doob stochastic fractional differential equations with non-Lipschitz coefficients
- A fractional calculus of variations for multiple integrals with application to vibrating string
- Application of the Local Fractional Fourier Series to Fractal Signals
- Riemann-Christoffel tensor in differential geometry of fractional order application to fractal space-time
- scientific article; zbMATH DE number 5195320 (Why is no real title available?)
- On fractional differential inclusions with the Jumarie derivative
- Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions
- The Minkowski's space-time is consistent with differential geometry of fractional order
- From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series
- Cauchy's integral formula via the modified Riemann-Liouville derivative for analytic functions of fractional order
- Order estimation for a fractional Brownian motion model of glucose control
- A new approach for the generalized fractional Casson fluid model with Newtonian heating described by the modified Riemann–Liouville fractional operator
- Existence, uniqueness, and averaging principle for Hadamard Itô–Doob stochastic delay fractional integral equations
- Hadamard Itô-Doob stochastic fractional order systems
- Ulam–Hyers stability of fractional Itô–Doob stochastic differential equations
- A generalized local fractional LWR model of vehicular traffic flow and its solution
- Fractional multiple birth-death processes with birth probabilities \(\lambda _i(\Delta t)^\alpha +o((\Delta t)^\alpha)\)
- Fractional variational calculus for nondifferentiable functions
- Non-confluence of fractional stochastic differential equations driven by Lévy process
- A study of anomalous stochastic processes via generalizing fractional calculus
- On existence results of boundary value problems of Caputo fractional difference equations for weak-form efficient market hypothesis
- Uncertain differential equations driven by fractional Liu process
- Title not available (Why is no real title available?)
- Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function
- On the invalidity of Fourier series expansions of fractional order
- Wave propagation in heterogeneous media with local and nonlocal material behavior
- Counterexamples on Jumarie's two basic fractional calculus formulae
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
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