Fractional Brownian motion in a nutshell

DOI10.1142/S2010194515600022zbMath1337.60067arXiv1406.1956OpenAlexW2964293039MaRDI QIDQ2803666

Georgiy M. Shevchenko

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/1406.1956

zbMATH Keywords

simulationfractional Brownian motionHölder continuityHurst parameterconsistent estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Probabilistic methods, stochastic differential equations (65C99)

Related Items (11)

ELS pricing and hedging in a fractional Brownian motion environment ⋮ Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets ⋮ A Brief Introduction to DFA-Based Multiscale Analysis ⋮ Characterization of time series via Rényi complexity-entropy curves ⋮ Long memory estimation in a non-Gaussian bivariate process ⋮ Numerical approximation and fast evaluation of the overdamped generalized Langevin equation with fractional noise ⋮ On the variance of squarefree integers in short intervals and arithmetic progressions ⋮ Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure ⋮ Approximation of SDEs: a stochastic sewing approach ⋮ Intermediate dimension of images of sequences under fractional Brownian motion ⋮ Simulation of a fractional Brownian motion in the space $L_p([0,T)$]

Cites Work

• Selected aspects of fractional Brownian motion.
• Stochastic calculus for fractional Brownian motion and related processes.
• The Malliavin Calculus and Related Topics
• Stochastic Calculus for Fractional Brownian Motion and Applications

This page was built for publication: Fractional Brownian motion in a nutshell