Fractional Brownian Motions, Fractional Noises and Applications

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

Self-similarity and Lamperti convergence for families of stochastic processes
A Bridge between geometric measure theory and signal processing: multifractal analysis
On the maximum workload of a queue fed by fractional Brownian motion.
Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
Local times of multifractional Brownian sheets
On a class of self-similar processes with stationary increments in higher order Wiener chaoses
Operating characteristics for group sequential trials monitored under fractional Brownian motion
Ergodicity of stochastic differential equations driven by fractional Brownian motion
Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
Estimation in models driven by fractional Brownian motion
Computing the non-linear anomalous diffusion equation from first principles
Operator-self-similar stable processes
A generalisation of the fractional Brownian field based on non-Euclidean norms
Cylindrical fractional Brownian motion in Banach spaces
Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks
Inner product spaces of integrands associated to subfractional Brownian motion
Fractal and complex network analyses of protein molecular dynamics
Multifractal analyses of music sequences
Fractional normal inverse Gaussian process
Approximation, metric entropy and small ball estimates for Gaussian measures
Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
A frequency domain approach to some results on fractional Brownian motion
Nonhomogeneous fractional Poisson processes
The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
Fractal analyses for `short' time series: A re-assessment of classical methods
On wavelet analysis of the \(n\)th order fractional Brownian motion
A multifractal formalism for non-concave and non-increasing spectra: the leaders profile method
Simulation of weakly self-similar stationary increment \(\mathbf{Sub}_\varphi(\Omega)\)-processes: A series expansion approach
Fractional Lévy processes with an application to long memory moving average processes
Power law Pólya's urn and fractional Brownian motion
What is the exact condition for fractional integrals and derivatives of Besicovitch functions to have exact box dimension?
Optimal hedging under fast-varying stochastic volatility
Ergodic theory for SDEs with extrinsic memory
Wavelet analysis and covariance structure of some classes of non-stationary processes
Scaling limits for random fields with long-range dependence
Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
Fractional Brownian motion and sheet as white noise functionals
Stationarity and control of a tandem fluid network with fractional Brownian motion input
Kink estimation with correlated noise
Operator fractional Brownian motion as limit of polygonal lines processes in Hilbert space
Stochastic evolution equations driven by a Liouville fractional Brownian motion
On a class of self-similar processes
Function estimation via wavelet shrinkage for long-memory data
Random walk and broad distributions on fractal curves
Formal calculus for real‐valued fractional Brownian motions prospects in systems science
Convergence in law to the multiple fractional integral.
Random Dynamical Systems and Stationary Solutions of Differential Equations Driven by the Fractional Brownian Motion
Asymptotics for Rough Stochastic Volatility Models
On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
Gaussian moving averages, semimartingales and option pricing.
ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
Construction of a complex-valued fractional Brownian motion of order N
Goodness of fit assessment for a fractal model of stock markets
Modelling stock price movements: multifractality or multifractionality?
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
Modelling NASDAQ series by sparse multifractional Brownian motion
Semi-stable Markov processes. I
White noise-based stochastic calculus with respect to multifractional Brownian motion
Diffusion in heterogeneous media: an iterative scheme for finding approximate solutions to fractional differential equations with time-dependent coefficients
Solutions to BSDEs driven by both standard and fractional Brownian motions
Properties of a block bootstrap under long-range dependence
On the continuity of characteristic functionals and sparse stochastic modeling
Fractional electrostatic equations in fractal composite structures
Fractional Poisson process. II
Sample size determination for group sequential test under fractional Brownian motion
Exponential stability of stochastic systems: A pathwise approach
Transformation formulas for fractional Brownian motion
Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models
Robust synchronization of perturbed Chen's fractional-order chaotic systems
The fractional multivariate normal tempered stable process
Large deviations and overflow probabilities for the general single-server queue, with applications
Fractality of profit landscapes and validation of time series models for stock prices
On fractional stable processes and sheets: white noise approach
Discrete approximation of a stable self-similar stationary increments process
Fractional Brownian motion and long term clinical trial recruitment
From particles scale to anomalous or classical convection-diffusion models with path integrals
Fokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processes
On the mixed fractional Brownian motion
Identifying the multifractional function of a Gaussian process
Estimation of the drift of fractional Brownian motion
Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein-Uhlenbeck process
Poisson fractional processes
Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
A series expansion of fractional Brownian motion
Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
An approach via fractional analysis to non-linearity induced by coarse-graining in space
On Hölder fields clustering
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
On the fractional signals and systems
Complex network approach to fractional time series
Identification of filtered white noises
Some properties of the sub-fractional Brownian motion
Solutions to BSDEs driven by multidimensional fractional Brownian motions
Fractional calculus of fractal interpolation function on \([0,b]\) (\(b>0\))
Simulation of a fractional Brownian motion in the space \(L_p([0,T])\)
Variational solutions for partial differential equations driven by a fractional noise
Lévy driven moving averages and semimartingales
On the relation between the fractional Brownian motion and the fractional derivatives

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