Discriminating between scaled and fractional Brownian motion via \(p\)-variation statistics

DOI10.1007/s12572-018-0206-0zbMath1397.62289OpenAlexW2803757496WikidataQ129842962 ScholiaQ129842962MaRDI QIDQ1787532

Yanyan Li

Publication date: 5 October 2018

Published in: International Journal of Advances in Engineering Sciences and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12572-018-0206-0

zbMATH Keywords

fractional Brownian motiontestinganomalous diffusion\(p\)-variationscaled Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Lamperti transformation of scaled Brownian motion and related Langevin equations

Cites Work

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• Fractional Brownian motions: memory, diffusion velocity, and correlation functions
• And did he search for you, and could not find you?
• Anomalous diffusion of liquids in glassy polymers
• Fractional Brownian Motions, Fractional Noises and Applications

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