SimEstFBM

swMATH26366MaRDI QIDQ38097FDOQ38097

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Cited In (44)

• Simulation of generalized fractional Brownian motion in \(C([0,T])\)
• Maximum likelihood estimators of a long-memory process from discrete observations
• Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.
• A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY
• Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
• A fast algorithm for simulation of rough volatility models
• Fast and exact synthesis of some operator scaling Gaussian random fields
• Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
• Convergence of numerical solutions for a class of stochastic age-dependent capital system with fractional Brownian motion
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
• Simulation of a fractional Brownian motion in the space $L_p([0,T])$
• Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
• Expectiles for subordinated Gaussian processes with applications
• The rate of convergence of Hurst index estimate for the stochastic differential equation
• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
• Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance
• Innovative methods for modeling of scale invariant processes
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
• Data driven sampling of oscillating signals
• Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter
• An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation
• Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
• Series representation and simulation of multifractional Lévy motions
• Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
• Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments
• Simulation paradoxes related to a fractional Brownian motion with small Hurst index
• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
• A generative model for fBm with deep ReLU neural networks
• Quantification of fracture roughness by change probabilities and Hurst exponents
• Integral representation of generalized grey Brownian motion
• Numerics for the fractional Langevin equation driven by the fractional Brownian motion
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• Forecasting of time data with using fractional Brownian motion
• On a covariance structure of some subset of self-similar Gaussian processes
• Parameter identification for the discretely observed geometric fractional Brownian motion
• Statistical test for fractional Brownian motion based on detrending moving average algorithm
• Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
• On a fractional stochastic Hodgkin–Huxley model
• Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
• An integrate-and-fire model to generate spike trains with long-range dependence
• Multilevel Monte Carlo for stochastic differential equations with additive fractional noise
• Identification of the Multivariate Fractional Brownian Motion

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