Fractional Brownian Motions, Fractional Noises and Applications

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Riemann-Liouville fractional Brownian motion with random Hurst exponent
Evaluating Gaussianity of heterogeneous fractional Brownian motion
Bayesian dynamical modeling of fixational eye movements
Simulation of a fractional Brownian motion in the space \(L_p([0,T])\)
Self-similarity and Lamperti convergence for families of stochastic processes
On the nth-order subfractional Brownian motion
Riemann-Liouville and Weyl fractional oscillator processes
Non‐instantaneous impulsive stochastic FitzHugh–Nagumo equation with fractional Brownian motion
Optimal rate for a queueing system in heavy traffic with superimposed on-off arrivals
Complex orbits in a second-order digital filter with sinusoidal response
Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions
Correction to Black-Scholes formula due to fractional stochastic volatility
A biased intruder in a dense quiescent medium: looking beyond the force--velocity relation
Application of generalized Hurst dimension rose plot in terrain altitude analysis
Fractional derivative of power type functions
Impulsive fractional stochastic differential inclusions driven by sub-fractional Brownian motion with infinite delay and sectorial operators
Nonparametric estimation of fractional option pricing model
A note on stationary bootstrap variance estimator under long-range dependence
A time fractional functional differential equation driven by the fractional Brownian motion
Stochastic Control System for Mortality Benefits
Tempered fractional Langevin-Brownian motion with inverse \(\beta\)-stable subordinator
Statistical testing-based framework for differentiating anomalous diffusion models with constant and random parameters
Strong asymptotic arbitrage in the large fractional binary market
Young differential equations driven by Besov-Orlicz paths
Stochastic Korteweg-de Vries equation driven by fractional Brownian motion
Mutual information for stochastic differential equations driven by fractional Brownian motion
Group sequential tests under fractional Brownian motion in monitoring clinical trials
Generalized dimensions of images of measures under Gaussian processes
A panoramic sketch about the robust stability of time-delay systems and its applications
Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
Characterization of complex data functions through local persistence of increments
Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
Kolmogorov-Smirnov estimation of self-similarity in long-range dependent fractional processes
Asymptotic theory for estimating drift parameters in the fractional Vasicek model
First-passage properties of asymmetric Lévy flights
An approximate approach to fractional analysis for finance
On linear processes with dependent innovations
Signature volatility models: pricing and hedging with Fourier
Ergodicity breaking, ageing, and confinement in generalized diffusion processes with position and time dependent diffusivity
Convergence of fractional diffusion processes in extension domains
Second order structure of scale-space measurements
Fractional order description of DNA
On the maximum workload of a queue fed by fractional Brownian motion.
Influence of long memory on the asymptotic behaviour of functional estimators
Nonlinear forecasting of the generalized Kuramoto-Sivashinsky equation
Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients
Local times of multifractional Brownian sheets
A Bridge between geometric measure theory and signal processing: multifractal analysis
On the approximation of Lévy driven Volterra processes and their integrals
Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
Fractional diamagnetic Kepler problem and elastic collisions
Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift
Non-parametric estimation under strong dependence
Recursive generalized maximum correntropy criterion algorithm with sparse penalty constraints for system identification
Fractional Brownian motion with variable Hurst parameter: definition and properties
Stochastic optimal control of multi-machine power systems driven by fractional Gaussian noise
Fractional generalized Lévy random fields as white noise functionals
Option pricing beyond Black-Scholes based on double-fractional diffusion
Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
Fractional Lévy processes on Gel'fand triple and stochastic integration
Sensitivities \textit{via} rough paths
Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
Exact uniform modulus of continuity and Chung's LIL for the generalized fractional Brownian motion
Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion
A new approach to stochastic integration with respect to fractional Brownian motion for no adapted processes
Properties of set-valued Young integrals and Young differential inclusions generated by sets of Hölder functions
Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
A fast algorithm for multifield representation and multiscale simulation of high-quality 3D stochastic aggregate microstructures by concurrent coupling of stationary Gaussian and fractional Brownian random fields
Stochastic processes in a confining harmonic potential in the presence of static and dynamic measurement noise
Second-order neutral impulsive stochastic evolution equations with infinite delay: existence, uniqueness and averaging principle
Modelling intermittent anomalous diffusion with switching fractional Brownian motion
Regularisation by regular noise
On a class of self-similar processes with stationary increments in higher order Wiener chaoses
Measuring time series based on multiscale dispersion Lempel-Ziv complexity and dispersion entropy plane
Calibrating rough volatility models: a convolutional neural network approach
Maximum principle for stochastic partial differential system with fractional Brownian motion
The solvability and sensitivity of nonautonomous fractional differential inclusions steered by mixed Brownian motion
Generalized fractional Lévy random fields on Gel'fand triple: a white noise approach
Pathwise large deviations for the rough Bergomi model
The influence of power law distributions on long-range trial dependency of response times
A generalized permutation entropy for noisy dynamics and random processes
Fractional Brownian motions described by scaled Langevin equation
Extracting fractal components from time series
Turbocharging Monte Carlo pricing for the rough Bergomi model
Large deviations of time-averaged statistics for Gaussian processes
Path probability of random fractional systems defined by white noises in coarse-grained time. Application of fractional entropy
Random dynamical system generated by nonautonomous stochastic differential equations driven by fractional Brownian motions
On invariants of plane curve singularities in positive characteristic
Power-Law Cross-Correlations: Issues, Solutions and Future Challenges
Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
Harmonic statistics
EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE
Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
Stochastic scattering model of anomalous diffusion in arrays of steady vortices
Stochastic dynamics driven by combined Lévy–Gaussian noise: fractional Fokker–Planck–Kolmogorov equation and solution
Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion
The existence and exponential behavior of solutions to time fractional stochastic delay evolution inclusions with nonlinear multiplicative noise and fractional noise
1/f^ 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

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