Minimal model of diffusion with time changing Hurst exponent
From MaRDI portal
Publication:6137656
DOI10.1088/1751-8121/acecc7arXiv2307.13980MaRDI QIDQ6137656
Publication date: 4 September 2023
Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2307.13980
Fractional processes, including fractional Brownian motion (60G22) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Classical dynamic and nonequilibrium statistical mechanics (general) (82C05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Identifying the multifractional function of a Gaussian process
- Elliptic Gaussian random processes
- Local self-similarity and the Hausdorff dimension
- Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
- From rough to multifractal volatility: the log S-fBm model
- A general class of multifractional processes and stock price informativeness
- How rich is the class of multifractional Brownian motions?
- Representation Formulae for the Fractional Brownian Motion
- Bayesian methods for change-point detection in long-range dependent processes
- Volatility is rough
- Boosting the performance of anomalous diffusion classifiers with the proper choice of features
- Classification of anomalous diffusion in animal movement data using power spectral analysis
- Nonequilibrium Statistical Physics
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional Brownian motion with random diffusivity: emerging residual nonergodicity below the correlation time
- Preface: characterisation of physical processes from anomalous diffusion data
- Self-similarity index estimation via wavelets for locally self-similar processes
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
This page was built for publication: Minimal model of diffusion with time changing Hurst exponent
