Fractional Brownian
Modeling Returns of Stock Indexes through Fractional Brownian Motion Combined with Jump Processes and Modulated by Markov Chains
... of fractional Brownian motion combined with Poisson process modulated with Markov switching-regime stochastic ...jumps, fractional Brownian motion, and Markov regime ...
13
Ruin problems of a two-dimensional fractional Brownian motion risk process
... two-dimensional fractional Brownian motion risk ...a fractional Brownian motion. The two-dimensional fractional Brownian motion risk process models the surplus processes of an ...
25
Boundary controllability of nonlocal Hilfer fractional stochastic differential systems with fractional Brownian motion and Poisson jumps
... analysis, fractional analysis, compact semigroups and the Schauder fixed-point theorem, we discuss the approximate boundary controllability of a nonlocal Hilfer fractional stochastic differential system with ...
23
Strong Local Non Determinism of Sub Fractional Brownian Motion
... The fractional Brownian motion (fBm for short) is the best known and most used process with long-dependence property for models in telecommunications, turbulence, image processing and ...on ...
6
Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion
... by Brownian motion and also refer to [1, 2, 4, 5, 11] for those only driven by fractional Brownian motion ...by Brownian motion; Boufoussi and Hajji [2] discussed the exponential stability in ...
15
Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein Uhlenbeck Process and Application on KLCI Option Pricing
... Based on the literature, early works on GBM assumed volatility to be a constant. However this assumption is rejected by most empirical studies [5]-[8] which led to some market crashes such as Black-Monday in 1987, the ...
13
Evaluation of Geometric Asian Power Options under Fractional Brownian Motion
... of fractional Brownian motion (FBM) should date back to the develop- ment of the option pricing ...metic Brownian motion to model the dynamics of underlying asset ...
9
Fuzzy Robust H Control for Uncertain Systems with Fractional Brownian Motions
... Abstract. The fuzzy H state feedback control for a class of uncertain systems with multiple state delays and fractional Brownian motions is proposed in this paper. Using PDC method and Lyapunov functional ...
7
Cylindrical fractional Brownian motion in Banach spaces
... Our long-term aim is to study general stochastic equations in Banach spaces driven by cylindrical fBms, which involves stochastic integration for random integrands. We are inspired by the paper of van Neerven et al. [30] ...
31
On the non Lipschitz stochastic differential equations driven by fractional Brownian motion
... In this paper, we use a successive approximation method to prove the existence and uniqueness theorems of solutions to non-Lipschitz stochastic differential equations (SDEs) driven by fractional Brownian ...
15
Stochastic modified Boussinesq approximate equation driven by fractional Brownian motion
... The fractional Brownian motion (FBM) is a family of Gaussian process which is indexed by the Hurst parameter H ∈ (, ...by fractional Gaussian ...
21
Controllability of a stochastic functional differential equation driven by a fractional Brownian motion
... of Brownian motion, fractional Brownian motion (fBm) is a self- similar Gaussian processes which have the properties of long/short-range ...with Brownian motion, the process is neither a ...
18
Nonlocal stochastic integro differential equations driven by fractional Brownian motion
... that fractional Brownian motion (fBm, for short) is a family of cen- tered Gaussian processes with continuous sample paths indexed by the Hurst parameter H ∈ (, ...
14
Stochastic delay evolution equations driven by sub fractional Brownian motion
... The fractional Brownian motion (fBm for short) has become an object of intense study, due to its interesting properties and its applications in various scientific areas including telecommunications, ...
17
Weak convergence of the complex fractional Brownian motion
... others: Brownian sheet (cf. Bardina and Jolis [5]), m-dimensional Brownian motion ...[7]), fractional Brownian motion ...[14]), fractional Brownian sheet ...
18
Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion?
... a Brownian motion is typically used in modeling the asset prices, interest rates and ex- change rates, and so ...of Brownian motion as a driving force of the underlying asset price processes is rarely ...
11
Link dimensioning for fractional Brownian input
... A simulation of an fBm queue requires the generation of a long fractional Brownian noise (fBn) sequence which is time consuming. There is a significant body of work on how to generate fBm traffic [17]–[21]. ...
7
Some properties of the solution to fractional heat equation with a fractional Brownian noise
... as fractional Brownian motion, sub-fractional Brownian motion, bi-fractional Brownian motion and weighted-fractional Brownian motion have be ...
16
Nonlocal fractional stochastic differential equations driven by fractional Brownian motion
... In this paper, we consider a class of nonlocal fractional stochastic differential equations driven by fractional Brownian motion with Hurst index H > 1 2 . Sufficient conditions for the existence and ...
16
One Dimensional Random Motion on Segment with Reflecting Edges and Dependent Increments
... In previous papers, the author considered the model of anomalous diffusion, defined by stable random process on an interval with reflecting edges. Esti- mates of the rate convergence of this process distribution to a ...
10