DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
From MaRDI portal
Publication:3510241
DOI10.1142/S0218348X07003356zbMath1142.60329OpenAlexW2016239205MaRDI QIDQ3510241
Pierre R. Bertrand, Jean-Marc Bardet
Publication date: 2 July 2008
Published in: Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218348x07003356
Gaussian processes (60G15) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)
Related Items (13)
Stability analysis for point delay fractional description models via linear matrix inequalities ⋮ Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes ⋮ Measuring the roughness of random paths by increment ratios ⋮ Identification of nonstandard multifractional Brownian motions under white noise by multiscale local variations of its sample paths ⋮ Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation ⋮ Discretization error of wavelet coefficient for fractal like processes ⋮ A wavelet characterization for the upper global Hölder index ⋮ Stochastic properties of the linear multifractional stable motion ⋮ Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values ⋮ Identification of the multiscale fractional Brownian motion with biomechanical applications ⋮ A packing dimension theorem for Gaussian random fields ⋮ Unnamed Item ⋮ A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times
Cites Work
- Unnamed Item
- Unnamed Item
- A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
- Efficient parameter estimation for self-similar processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- A general version of the fundamental theorem of asset pricing
- On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
- Gaussian moving averages, semimartingales and option pricing.
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Wavelet analysis and synthesis of fractional Brownian motion
- Arbitrage with Fractional Brownian Motion
- Statistical study of the wavelet analysis of fractional Brownian motion
- Identification of the multiscale fractional Brownian motion with biomechanical applications
- The generalized multifractional Brownian motion
- Wavelet estimator of long-range dependent processes.
- Identification of the Hurst index of a step fractional Brownian motion
This page was built for publication: DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION