Fractional Brownian Motions, Fractional Noises and Applications

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

Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
An approximate approach to fractional analysis for finance
On linear processes with dependent innovations
Fractional order description of DNA
Fractional differentiability of nowhere differentiable functions and dimensions
Weighted Local Time for Fractional Brownian Motion and Applications to Finance
Probing tripartite entanglement and coherence dynamics in pure and mixed independent classical environments
ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion
Functional limit theorems for generalized variations of the fractional Brownian sheet
Stochastic differential equations with fractional Brownian motion input
Tempered fractional calculus
Local Fractional Fokker-Planck Equation
Stochastic generalized Burgers equations driven by fractional noises
Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
Wavelet \(q\)-Fisher information for scaling signal analysis
Mild solutions for a class of fractional SPDEs and their sample paths
A review of empirical likelihood methods for time series
The \(M\)-Wright function in time-fractional diffusion processes: a tutorial survey
Fractional generalized Hamiltonian mechanics
Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths
Electrostatics in fractal geometry: fractional calculus approach
Consistency of the regression estimator with functional data under long memory conditions
Stochastic integration for tempered fractional Brownian motion
Large deviations in testing fractional Ornstein-Uhlenbeck models
Functional differential equations driven by a fractional Brownian motion
Densities for rough differential equations under Hörmander's condition
Option pricing under a gamma-modulated diffusion process
Ergodicity of the infinite dimensional fractional Brownian motion
Synchronization of a new fractional-order hyperchaotic system
A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm
A representation for self-similar processes
Volatility is rough
Synthesis of multifractional Gaussian noises based on variable-order fractional operators
Physical and geometrical interpretation of fractional operators
Moments of the position of the maximum for GUE characteristic polynomials and for log-correlated Gaussian processes
Upper and lower bounds of integral operator defined by the fractional hypergeometric function
A class of negatively fractal dimensional Gaussian random functions
A reflected fBm limit for fluid models with ON/OFF sources under heavy traffic
CONTROL AND SYNCHRONIZATION OF JULIA SETS GENERATED BY A CLASS OF COMPLEX TIME-DELAY RATIONAL MAP
Fractional motions
Maximizing information exchange between complex networks
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
Long memory versus structural breaks: an overview
A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence
A storage model with self-similar input
Chaos, fractional kinetics, and anomalous transport
Fronts in anomalous diffusion-reaction systems
Tanaka formula for the fractional Brownian motion.
Self-similarity index estimation via wavelets for locally self-similar processes
The asymptotic dependence structure of the linear fractional Lévy motion
Distinguishing stationary/nonstationary scaling processes using wavelet Tsallis \(q\)-entropies
Fractal time and 1/f spectra in dynamic images and human vision
Stochastic averaging of quasi-non-integrable Hamiltonian systems under fractional Gaussian noise excitation
Correcting the initialization of models with fractional derivatives via history-dependent conditions
The Hurst phenomenon and the rescaled range statistic
Robust synchronization of incommensurate fractional-order chaotic systems via second-order sliding mode technique
Fractal time series -- A tutorial review
Adaptive synchronization of fractional-order chaotic systems via a single driving variable
Central and non-central limit theorems in a free probability setting
Identification of Hammerstein nonlinear ARMAX systems using nonlinear adaptive algorithms
Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
The screening effect in kriging
Characterization of self-similar processes with stationary increments
Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function
Functional differential equations in Hilbert spaces driven by a fractional Brownian motion
Consistent order selection with strongly dependent data and its application to efficient estimation.
Minimax estimation via wavelets for indirect long-memory data
Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
Analysis of natural and artificial phenomena using signal processing and fractional calculus
Contemporaneous aggregation of linear dynamic models in large economies
New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations
On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
Intermediate processes and critical phenomena: theory, method and progress of fractional operators and their applications to modern mechanics
Multifractional, multistable, and other processes with Prescribed local form
Quantum systems for Monte Carlo methods and applications to fractional stochastic processes
Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
Estimating stochastic volatility: the rough side to equity returns
A stochastic maximum principle for processes driven by fractional Brownian motion.
Generalized Hermite processes, discrete chaos and limit theorems
Controllability of neutral stochastic integro-differential evolution equations driven by a fractional Brownian motion
Aging Feynman-Kac equation
Equivalence of Volterra processes.
On a class of measure-dependent stochastic evolution equations driven by fbm
On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion
Stochastic resonance in a linear fractional Langevin equation
Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
Long memory and self-similar processes
Fractional white noise perturbations of parabolic Volterra equations
Information geometric characterization of the complexity of fractional Brownian motions
A Ferguson-Klass-LePage series representation of multistable multifractional motions and related processes
A data-driven alternative to the fractional Fokker-Planck equation
Existence and exponential stability for neutral stochastic integrodifferential equations with impulses driven by a fractional Brownian motion
UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
VALIDITY OF THE SAMPLING WINDOW METHOD FOR LONG-RANGE DEPENDENT LINEAR PROCESSES
Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
Explicit solutions of a class of linear fractional BSDEs

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