Fractional Brownian motion in a nutshell

DOI10.1142/S2010194515600022MaRDI QIDQ2803666zbMATH OpenOpenAlexFDO

Authors G. M. Shevchenko

Publication date 2 May 2016

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

Full work available at URL https://arxiv.org/abs/1406.1956

zbMATH Keywords

simulationconsistent estimationfractional Brownian motionHurst parameterHölder continuity

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Fractional processes, including fractional Brownian motion (60G22)

Abstract: This is an extended version of the lecture notes to a mini-course devoted to fractional Brownian motion and delivered to the participants of 7th Jagna International Workshop.

Cites work

• Selected aspects of fractional Brownian motion.
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for fractional Brownian motion and related processes.
• The Malliavin Calculus and Related Topics

Cited in

(15)

• Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise
• Long memory estimation in a non-Gaussian bivariate process
• Fractional Brownian motion satisfies two-way crossing
• Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure
• Characterization of time series via Rényi complexity-entropy curves
• Approximation of SDEs: a stochastic sewing approach
• Simulation of a fractional Brownian motion in the space \(L_p([0,T])\)
• Fractional randomness and the Brownian bridge
• Intermediate dimension of images of sequences under fractional Brownian motion
• Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
• From fractional Brownian motion to multifractional and multistable motion
• ELS pricing and hedging in a fractional Brownian motion environment
• On the variance of squarefree integers in short intervals and arithmetic progressions
• When does fractional Brownian motion not behave as a continuous function with bounded variation?
• A Brief Introduction to DFA-Based Multiscale Analysis

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