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Minimal model of diffusion with time changing Hurst exponent - MaRDI portal

Minimal model of diffusion with time changing Hurst exponent (Q6137656)

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scientific article; zbMATH DE number 7733835
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Minimal model of diffusion with time changing Hurst exponent
scientific article; zbMATH DE number 7733835

    Statements

    title
    Minimal model of diffusion with time changing Hurst exponent (English)
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    author
    Jakub Ślęzak
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    Ralf Metzler
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    publication date
    4 September 2023
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    zbMATH Keywords
    diffusion
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    long-range correlations
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    fractional Brownian motion
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    cites work
    Q3066842
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    Q4748912
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    Q2884695
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    Volatility is rough
    0 references
    Q4865042
    0 references
    Q5823885
    0 references
    Q5521155
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    Identifiers

    arXiv ID
    2307.13980
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    Mathematics Subject Classification ID
    82C31
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    82C05
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    60G22
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    zbMATH DE Number
    7733835
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