Fractional Brownian Motions, Fractional Noises and Applications

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

Regularisation by regular noise
Strong asymptotic arbitrage in the large fractional binary market
Stochastic Korteweg-de Vries equation driven by fractional Brownian motion
Group sequential tests under fractional Brownian motion in monitoring clinical trials
Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
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On roughness indices for fractional fields
Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion
\(1/f^\alpha\) low frequency fluctuations in turbulent flows. Transitions with heavy-tailed distributed interevent durations
Least-squares estimation of multifractional random fields in a Hilbert-valued context
A bootstrap causality test for covariance stationary processes
The distance between rival nonstationary fractional processes
Empirical likelihood confidence intervals for the mean of a long‐range dependent process
Bootstrap specification tests for linear covariance stationary processes
STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
Fractional Brownian motion with Hurst index \({H = 0}\) and the Gaussian unitary ensemble
Alternative forms of fractional Brownian motion
Self-affine time series: Measures of weak and strong persistence.
Large-scale interactive numerical experiments of chaos, solitons and fractals in real time via GPU in a web browser
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
Langevin equation with two fractional orders
Stochastic averaging principle for dynamical systems with fractional Brownian motion
Estimation of fractional integration under temporal aggregation
Stochastic calculus with respect to Gaussian processes
On distributions of functionals of anomalous diffusion paths
The random walk's guide to anomalous diffusion: A fractional dynamics approach
Ball throwing on spheres
Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input
Quasi-sure \(p\)-variation of fractional Brownian motion
Asymptotic proportion of arbitrage points in fractional binary markets
MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach
Approximate controllability of impulsive neutral stochastic differential equations with fractional Brownian motion in a Hilbert space
Estimating the Hurst effect and its application in monitoring clinical trials
Stochastic Evolution Equations Driven by a Fractional White Noise
Limit theorems for sums of linearly generated random variables
A fixed-\(b\) test for a break in level at an unknown time under fractional integration
Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions
The high-order SPDEs driven by multi-parameter fractional noises
Long memory processes and fractional integration in econometrics
Modeling and pricing long memory in stock market volatility
Rates of contraction of posterior distributions based on Gaussian process priors
A fractionally integrated Wishart stochastic volatility model
Weighted sums of i.i.d. random variables attracted to integrals of stable processes
Variance estimation for fractional Brownian motions with fixed Hurst parameters
A parabolic stochastic differential equation with fractional Brownian motion input
Long memory relationships and the aggregation of dynamic models
Benoît Mandelbrot and fractional Brownian motion
Evolution equations driven by a fractional Brownian motion
Possible long-range dependence in fractional random fields.
Central limit theorems for quadratic forms in random variables having long-range dependence
An alternative bootstrap to moving blocks for time series regression models
Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
On a class of minimum contrast estimators for fractional stochastic processes and fields
Long memory continuous time models
On the power of the KPSS test of stationarity against fractionally-integrated alternatives
Change-point detection with rank statistics in long-memory time-series models
Representation formulae for the fractional Brownian motion
Some linear SPDEs driven by a fractional noise with hurst index greater than 1/2
A frequency domain empirical likelihood for short- and long-range dependence
Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise
AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Numerical algorithms for the forward and backward fractional Feynman-Kac equations
A semiparametric two-step estimator in a multivariate long memory model
Multivariate wavelet Whittle estimation in long-range dependence
Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
A wavelet lifting approach to long-memory estimation
Nonlinearity and temporal dependence
Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
Properties of local-nondeterminism of Gaussian and stable random fields and their applications
Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
Weak convergence to fractional brownian motion and to the rosenblatt process
Convergence of integrated processes of arbitrary Hermite rank
FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
Fractional Generalized Random Fields of Variable Order
ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
LASS: a tool for the local analysis of self-similarity
Stochastic solution of space-time fractional diffusion equations
Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
Estimation of the linear fractional stable motion
ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
Fractional normal inverse Gaussian diffusion
VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
Estimators of fractal dimension: assessing the roughness of time series and spatial data
Fractals with point impact in functional linear regression
Nonparametric regression with long-range dependence
Cramèr-Rao bounds for fractional Brownian motions
Testing for structural change in regression with long memory processes
OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Long memory estimation for complex-valued time series
THE STOCHASTIC WAVE EQUATION DRIVEN BY FRACTIONAL BROWNIAN NOISE AND TEMPORALLY CORRELATED SMOOTH NOISE
Limit theorems on the self-normalized range for weakly and strongly dependent processes

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