scientific article; zbMATH DE number 1808203

zbMATH Open1008.60003MaRDI QIDQ3149666FDOQ3149666

Authors: Paul Embrechts, M. Maejima 

Publication date: 26 September 2002

Title of this publication is not available (Why is that?)

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zbMATH Keywords

fractional Brownian motionselfsimilar processessample path propterties

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Self-similar stochastic processes (60G18)

Cited In (only showing first 100 items - show all)

• Harmonic statistics
• Estimation of the multifractional function and the stability index of linear multifractional stable processes
• Lower bound for local oscillations of Hermite processes
• Universal spectral densities: white and Flicker noises
• Maxima of continuous-time stationary stable processes
• On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model
• The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
• Time fractional stochastic differential equations driven by pure jump Lévy noise
• Probability distributions of extremes of self-similar Gaussian random fields
• Domain and range symmetries of operator fractional Brownian fields
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Entropy measure of credit risk in highly correlated markets
• The modified Yule-Walker method for \(\alpha\)-stable time series models
• \(p\)th moment stability of fractional stochastic differential inclusions via resolvent operators driven by the Rosenblatt process and Poisson jumps with impulses
• A selective view of stochastic inference and modeling problems in nanoscale biophysics
• No-arbitrage, leverage and completeness in a fractional volatility model
• A tour of inequality
• Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
• Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
• Time-changed extremal process as a random sup measure
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• Exponents of operator self-similar random fields
• Intermittency of trawl processes
• Multi operator-stable random measures and fields
• Universal Poisson-process limits for general random walks
• Modeling and simulation with operator scaling
• Some path properties of weighted-fractional Brownian motion
• Regenerative processes in supercooled liquids and glasses
• Large deviation principle for Volterra type fractional stochastic volatility models
• Zooming in on a Lévy process at its supremum
• A time-fractional diffusion equation with space-time dependent hidden-memory variable order: analysis and approximation
• Model-free stochastic processes studied with \(q\)-wavelet-based informational tools
• Asymptotic behaviour of time averages for non-ergodic Gaussian processes
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• Operator-stable and operator-self-similar random fields
• Identification of periodic and cyclic fractional stable motions
• Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments
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• Stationary increments harmonizable stable fields: upper estimates on path behaviour
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• GENERATION AND PREDICTION OF SELF-SIMILAR PROCESSES BY SURROGATES
• Variable diffusion in stock market fluctuations
• Self-similar processes, fractional Brownian motion and statistical inference
• Large deviations of realized volatility
• Variable-order space-fractional diffusion equations and a variable-order modification of constant-order fractional problems
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• Asymptotic theory for the detection of mixing in anomalous diffusion
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• Asymptotic behaviours of a stochastic delay equation driven by an fBm in Hilbert space
• Gaussian Volterra processes: Asymptotic growth and statistical estimation
• On highly skewed fractional log‐stable noise sequences and their application
• Nontrivial equilibrium solutions and general stability for stochastic evolution equations with pantograph delay and tempered fractional noise
• Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process
• On multivariate fractional random fields: tempering and operator-stable laws
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• Gaussian Volterra processes with power-type kernels. I
• On operator fractional Lévy motion: integral representations and time-reversibility
• Moving average multifractional processes with random exponent: lower bounds for local oscillations
• Some examples of similarity families of long range dependent Gaussian processes
• Gaussian multi-self-similar random fields with distinct stationary properties of their rectangular increments
• How does tempering affect the local and global properties of fractional Brownian motion?
• On the carrying dimension of occupation measures for self-affine random fields
• Multifractal processes: definition, properties and new examples
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• Particle picture representation of the non-symmetric Rosenblatt process and Hermite processes of any order
• Well-posedness and numerical approximation of a fractional diffusion equation with a nonlinear variable order
• Uniquely identifying the variable order of time-fractional partial differential equations on general multi-dimensional domains
• Nonlinear correlations in multifractals: visibility graphs of magnitude and sign series
• Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process
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• Self-stabilizing processes
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• The convergence of exponential Euler method for weighted fractional stochastic equations
• Oscillating Gaussian processes
• Asymptotic analysis of the mean squared displacement under fractional memory kernels
• Rough volatility via the Lamperti transform
• A hidden-memory variable-order time-fractional optimal control model: analysis and approximation
• Ruin probability with certain stationary stable claims generated by conservative flows
• Realized Quantiles^*
• On the monofractality of many stationary continuous Gaussian fields
• Sample path properties of generalized random sheets with operator scaling
• Self-similar Cauchy problems and generalized Mittag-Leffler functions
• Weird Brownian motion
• Self-similarity in long-horizon returns
• Inverting the variable fractional order in a variable-order space-fractional diffusion equation with variable diffusivity: analysis and simulation
• On Lamperti transformation and AR(1) type characterisations of discrete random fields
• Estimation of the Hurst parameter from continuous noisy data
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• Analysis and discretization of a variable-order fractional wave equation
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• Spectral design of anomalous diffusion
• On a localization property of wavelet coefficients for processes with stationary increments, and applications. I. Localization with respect to shift
• Uniformly and strongly consistent estimation for the random Hurst function of a multifractional process
• Modeling temporally uncorrelated components of complex-valued stationary processes
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing

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