Probability density of the complex-valued fractional Brownian motion of order \(n\) via the maximum entropy principle in \(\mathbb R_{+}^{1/n}\)

DOI10.1016/S0960-0779(03)00191-7zbMath1061.60051MaRDI QIDQ1433571

Guy Jumaric

Publication date: 1 July 2004

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

zbMATH Keywords

stabilityprobability densitywhite noisemaximum entropy principles

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Stochastic processes (60G99) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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A probabilistic model on streamwise velocity profile in open channels using Tsallis relative entropy theory

Cites Work

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• On stochasticity and turbulence in the federal funds market
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• Construction of a complex-valued fractional Brownian motion of order N
• Would dynamic systems involving human factors be necessarily of fractal nature?

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