Some fractional and multifractional Gaussian processes: A brief introduction

DOI10.1142/S2010194515600010zbMath1337.60066arXiv1406.7500OpenAlexW2963449327MaRDI QIDQ2803665

No author found.

Publication date: 2 May 2016

Published in: International Journal of Modern Physics: Conference Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.7500

zbMATH Keywords

fractional Brownian motionlong-range dependencelocal self-similarityshort-range dependencemultifractional Gaussian processesfractional Gaussian processesmultifractional Ornstein-Uhlenbeck processesmultifractional Riesz-Bessel motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

Related Items (5)

Fractional Lévy stable motion: finite difference iterative forecasting model ⋮ Persistence probabilities of mixed FBM and other mixed processes ⋮ Asymptotics of the Persistence Exponent of Integrated Fractional Brownian Motion and Fractionally Integrated Brownian Motion ⋮ Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity ⋮ Fractionally integrated Gauss-Markov processes and applications

Cites Work

• Selected aspects of fractional Brownian motion.
• Fractional calculus for scientists and engineers.
• Fractional processes and fractional-order signal processing. Techniques and applications
• The analysis of fractional differential equations. An application-oriented exposition using differential operators of Caputo type
• Option pricing in fractional Brownian markets
• The fractional calculus. Theory and applications of differentiation and integration to arbitrary order
• Fractional differential equations. An introduction to fractional derivatives, fractional differential equations, to methods of their solution and some of their applications
• Geometry of fractional spaces
• Stochastic calculus for fractional Brownian motion and related processes.
• Fractional Kinetics in Solids
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic models for fractional calculus
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Some fractional and multifractional Gaussian processes: A brief introduction