Related papers: Fractional Brownian flows
The physical nature of the very local (<3 Mpc) Hubble flow is studied on the basis of the recent high precision observations in the Local Volume. A model including both analytical treatment and computer simulations describes the flow…
The fractional Brownian motion of index $0 < H < 1$, H-FBM, with d-dimensional time is considered on an expanding set TG, where G is a bounded convex domain that contains 0 at its boundary. The main result: if 0 is a point of smoothness of…
Strongly consistent and asymptotic normal estimators of the Hurst index of a stochastic differential equation driven by a fractional Brownian motion are proposed. The estimators are based on discrete observations of the underlying process.
We consider the evolution of an incompressible two-dimensional perfect fluid as the boundary of its domain is deformed in a prescribed fashion. The flow is taken to be initially steady, and the boundary deformation is assumed to be slow…
We study fractional Brownian motion (fBm) characterized by the Hurst exponent H. Using a Monte Carlo sampling technique, we are able to numerically generate fBm processes with an absorbing boundary at the origin at discrete times for a…
A framework for statistical-mechanical analysis of quantum Hamiltonians is introduced. The approach is based upon a gradient flow equation in the space of Hamiltonians such that the eigenvectors of the initial Hamiltonian evolve toward…
Motivated by the modeling of the temporal structure of the velocity field in a highly turbulent flow, we propose and study a linear stochastic differential equation that involves the ingredients of a Ornstein-Uhlenbeck process, supplemented…
We determine the exact Hausdorff measure functions for the range and level sets of a class of Gaussian random fields satisfying sectorial local nondeterminism and other assumptions. We also establish a Chung-type law of the iterated…
In this paper, we use the well-known background method to obtain a rigorous lower bound on the volume flow rate through a helical pipe driven by a pressure differential in the limit of large Reynolds number. As a consequence, we also obtain…
Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of…
Many real phenomena may be modelled as locally finite unions of $d$-dimensional time dependent random closed sets in $\mathbb{R}^d$, described by birth-and-growth stochastic processes, so that their mean volume and surface densities, as…
We investigate collective behavior of a system of two-dimensional interacting Brownian particles in the hydrodynamic regime. By means of the Martin-Siggia-Rose-Jenssen-de Dominicis formalism, we built up a generating functional for…
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…
Anomalous diffusion is an established phenomenon but still a theoretical challenge in non-equilibrium statistical mechanics. Physical models are built incrementally, and the most recent and most general family is based on the fractional…
We study a spatial branching model, where the underlying motion is Brownian motion and the branching is affected by a random collection of reproduction blocking sets called "mild" obstacles. We show that the quenched local growth rate is…
We investigate the large scale structure of certain sojourn sets of one dimensional Brownian motion within two-sided moving boundaries. The macroscopic Hausdorff dimension, upper mass dimension and logarithmic density of these sets are…
We show the consistency of a threshold dynamics type algorithm for the anisotropic motion by fractional mean curvature, in the presence of a time dependent forcing term. Beside the consistency result, we show that convex sets remain convex…
We investigate the Local Asymptotic Property for fractional Brownian models based on discrete observations contaminated by a Gaussian moving average process. We consider both situations of low and high-frequency observations in a unified…
This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature, our approach uniquely accommodates the full range of model…
We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard…