Minimal model of diffusion with time changing Hurst exponent
From MaRDI portal
Publication:6137656
Recommendations
- Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion
- Identification of multifractional Brownian motion
- Anomalous diffusion: fractional Brownian motion vs fractional Ito motion
- Linear stochastic differential equation driven by multifractional Brownian motion
- Fractional Brownian motion with variable Hurst parameter: definition and properties
Cites work
- A general class of multifractional processes and stock price informativeness
- A kinetic view of statistical physics
- Bayesian methods for change-point detection in long-range dependent processes
- Boosting the performance of anomalous diffusion classifiers with the proper choice of features
- Classification of anomalous diffusion in animal movement data using power spectral analysis
- Elliptic Gaussian random processes
- Fractional Brownian motion with random diffusivity: emerging residual nonergodicity below the correlation time
- Fractional Brownian Motions, Fractional Noises and Applications
- From rough to multifractal volatility: the log S-fBm model
- How rich is the class of multifractional Brownian motions?
- scientific article; zbMATH DE number 3806623 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 3233300 (Why is no real title available?)
- scientific article; zbMATH DE number 3083033 (Why is no real title available?)
- Identifying the multifractional function of a Gaussian process
- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- Local self-similarity and the Hausdorff dimension
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Nonequilibrium statistical physics. A modern perspective
- Preface: characterisation of physical processes from anomalous diffusion data
- Representation formulae for the fractional Brownian motion
- Self-similarity index estimation via wavelets for locally self-similar processes
- The Langevin equation. With applications to stochastic problems in physics, chemistry and electrical engineering.
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- Volatility is rough
Cited in
(10)- Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
- Anomalous and ultraslow diffusion of a particle driven by power-law-correlated and distributed-order noises
- A unifying representation of path integrals for fractional Brownian motions
- Non-Markovian effects in nonequilibrium systems
- Two-dimensional Brownian motion with dependent components: turning angle analysis
- Fractional hyper-ballistic transport under external oscillating electric fields
- Anomalous diffusion and fluctuations in complex systems and networks
- Limit theorems for the dynamical foundation of the fractional Brownian motion and related models of anomalous diffusion with random diffusion coefficient and time-dependent random Hurst parameter
- Distributed-order fractional diffusion equation with Hilfer-Prabhakar fractional derivative
- Stochastic self-similarity and stationarity: novel perspectives for heterogeneous and multifractal processes
This page was built for publication: Minimal model of diffusion with time changing Hurst exponent
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6137656)
