Fractional Brownian Motions, Fractional Noises and Applications

Cited in

(only showing first 100 items - show all)

Long memory estimation for complex-valued time series
Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
A fixed-\(b\) test for a break in level at an unknown time under fractional integration
Weak convergence to fractional brownian motion and to the rosenblatt process
Estimation of fractional integration under temporal aggregation
Estimators of fractal dimension: assessing the roughness of time series and spatial data
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
Representation formulae for the fractional Brownian motion
OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
Nonparametric regression with long-range dependence
Stochastic calculus with respect to Gaussian processes
FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
Asymptotic proportion of arbitrage points in fractional binary markets
Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
THE STOCHASTIC WAVE EQUATION DRIVEN BY FRACTIONAL BROWNIAN NOISE AND TEMPORALLY CORRELATED SMOOTH NOISE
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Fractional Brownian motion with Hurst index \({H = 0}\) and the Gaussian unitary ensemble
Regularisation by regular noise
A fractionally integrated Wishart stochastic volatility model
Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach
MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
Benoît Mandelbrot and fractional Brownian motion
scientific article; zbMATH DE number 3982353 (Why is no real title available?)
Evolution equations driven by a fractional Brownian motion
Approximate controllability of impulsive neutral stochastic differential equations with fractional Brownian motion in a Hilbert space
Langevin equation with two fractional orders
Cramèr-Rao bounds for fractional Brownian motions
Some linear SPDEs driven by a fractional noise with hurst index greater than 1/2
On distributions of functionals of anomalous diffusion paths
Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
Change-point detection with rank statistics in long-memory time-series models
Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions
Fractals with point impact in functional linear regression
The high-order SPDEs driven by multi-parameter fractional noises
Weighted sums of i.i.d. random variables attracted to integrals of stable processes
Convergence of integrated processes of arbitrary Hermite rank
A wavelet lifting approach to long-memory estimation
A semiparametric two-step estimator in a multivariate long memory model
Multivariate wavelet Whittle estimation in long-range dependence
Stochastic averaging principle for dynamical systems with fractional Brownian motion
Stochastic solution of space-time fractional diffusion equations
Estimation of the linear fractional stable motion
Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
Nonlinearity and temporal dependence
Central limit theorems for quadratic forms in random variables having long-range dependence
The random walk's guide to anomalous diffusion: A fractional dynamics approach
On a class of minimum contrast estimators for fractional stochastic processes and fields
FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
Strong asymptotic arbitrage in the large fractional binary market
Ball throwing on spheres
Numerical algorithms for the forward and backward fractional Feynman-Kac equations
A frequency domain empirical likelihood for short- and long-range dependence
Stochastic Korteweg-de Vries equation driven by fractional Brownian motion
Estimating the Hurst effect and its application in monitoring clinical trials
Testing for structural change in regression with long memory processes
Group sequential tests under fractional Brownian motion in monitoring clinical trials
Variance estimation for fractional Brownian motions with fixed Hurst parameters
Fractional normal inverse Gaussian diffusion
An alternative bootstrap to moving blocks for time series regression models
Alternative forms of fractional Brownian motion
Self-affine time series: Measures of weak and strong persistence.
Long memory processes and fractional integration in econometrics
Modeling and pricing long memory in stock market volatility
Properties of local-nondeterminism of Gaussian and stable random fields and their applications
Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise
Large-scale interactive numerical experiments of chaos, solitons and fractals in real time via GPU in a web browser
Stochastic Evolution Equations Driven by a Fractional White Noise
Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
Limit theorems for sums of linearly generated random variables
Rates of contraction of posterior distributions based on Gaussian process priors
On roughness indices for fractional fields
AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
A parabolic stochastic differential equation with fractional Brownian motion input
Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion
Limit theorems on the self-normalized range for weakly and strongly dependent processes
\(1/f^\alpha\) 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
Fractional Generalized Random Fields of Variable Order
Long memory continuous time models
On the power of the KPSS test of stationarity against fractionally-integrated alternatives
A bootstrap causality test for covariance stationary processes
ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
The distance between rival nonstationary fractional processes
Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
Possible long-range dependence in fractional random fields.
Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
Bootstrap specification tests for linear covariance stationary processes
Long memory relationships and the aggregation of dynamic models
LASS: a tool for the local analysis of self-similarity
Empirical likelihood confidence intervals for the mean of a long‐range dependent process

This page was built for publication: Fractional Brownian Motions, Fractional Noises and Applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5570525)