Some fractional and multifractional Gaussian processes: a brief introduction

DOI10.1142/S2010194515600010zbMATH Open1337.60066arXiv1406.7500OpenAlexW2963449327MaRDI QIDQ2803665FDOQ2803665

S. C. Lim, Chai Hok Eab

Publication date: 2 May 2016

Published in: International Journal of Modern Physics: Conference Series (Search for Journal in Brave)

Abstract: This paper gives a brief introduction to some important fractional and multifractional Gaussian processes commonly used in modelling natural phenomena and man-made systems. The processes include fractional Brownian motion (both standard and the Riemann-Liouville type), multifractional Brownian motion, fractional and multifrac- tional Ornstein-Uhlenbeck processes, fractional and mutifractional Reisz-Bessel motion. Possible applications of these processes are briefly mentioned.

Full work available at URL: https://arxiv.org/abs/1406.7500

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zbMATH Keywords

long-range dependencefractional Brownian motionlocal self-similarityshort-range dependencemultifractional Gaussian processesfractional Gaussian processesmultifractional Ornstein-Uhlenbeck processesmultifractional Riesz-Bessel motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

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Cited In (8)

• Fractional Lévy stable motion: finite difference iterative forecasting model
• On Gaussian processes equivalent in law to fractional Brownian motion
• Fractionally integrated Gauss-Markov processes and applications
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
• Persistence probabilities of mixed FBM and other mixed processes
• Asymptotics of the Persistence Exponent of Integrated Fractional Brownian Motion and Fractionally Integrated Brownian Motion
• Fractional Gaussian fields: a survey

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