Related papers: Covariance function of vector self-similar process
We study simple approximations to fractional Gaussian noise and fractional Brownian motion. The approximations are based on spectral properties of the noise. They allow one to consider the noise as the result of fractional…
We study the asymptotic behaviour of the cross-variation of two-dimensional processes having the form of a Young integral with respect to a fractional Brownian motion of index $H \textgreater{} 1/ 2$. When $H$ is smaller than or equal to $3…
We have considered the underdamped motion of a Brownian particle in the presence of a correlated external random force. The force is modeled by an Ornstein-Uhlenbeck process. We investigate the fluctuations of the work done by the external…
In certain applications, for instance biomechanics, turbulence, finance, or Internet traffic, it seems suitable to model the data by a generalization of a fractional Brownian motion for which the Hurst parameter $H$ is depending on the…
We prove a change of variable formula for the 2D fractional Brownian motion of index H bigger of equal to 1/4. For H strictly bigger than 1/4, our formula coincides with that obtained by using the rough paths theory. For H=1/4 (the more…
It is a well-known fact that finite rho-variation of the covariance (in 2D sense) of a general Gaussian process implies finite rho-variation of Cameron-Martin paths. In the special case of fractional Brownian motion (think: 2H=1/rho), in…
Using the six parameters truncated Mittag-Leffler function, we introduce a convenient truncated function to define the so-called truncated $\mathcal{V}$-fractional derivative type. After a discussion involving some properties associated…
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or…
We start by defining a subordinator by means of the lower-incomplete gamma function. It can be considered as an approximation of the stable subordinator, easier to be handled thank to its finite activity. A tempered version is also…
In this article integro-differential Volterra equations whose convolution kernel depends on the vector variable are considered and a connection of these equations with a class of semi-Markov processes is established. The variable order…
We present a method for calculating the results of operation of differential operators operating on components of vector in generalized coordinates not restricted to orthogonal one. For this we use the relationships between covariant,…
We exhibit new functions of the eigenvectors of the Dyson Brownian motion which follow an equation similar to the Bourgade-Yau eigenvector moment flow. These observables can be seen as a Fermionic counterpart to the original (Bosonic) ones.…
In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{1/2},{1/2})$, and we show that it has a nonzero finite variation of order…
A novel representation of functions, called generalized Taylor form, is applied to the filtering of white noise processes. It is shown that every Gaussian colored noise can be expressed as the output of a set of linear fractional stochastic…
In this paper we combine the fractional $\psi-$hyperholomorphic function theory with the fractional calculus with respect to another function. As a main result, a fractional Borel-Pompeiu type formula related to a fractional $\psi-$Fueter…
Fractional Brownian motion is a self-affine, non-Markovian and translationally invariant generalization of Brownian motion, depending on the Hurst exponent $H$. Here we investigate fractional Brownian motion where both the starting and the…
In this paper, we construct consistent statistical estimators of the Hurst index, volatility coefficient, and drift parameter for Bessel processes driven by fractional Brownian motion with $H<1/2$. As an auxiliary result, we also prove the…
We generalise the Langevin equation with Gaussian white noise by replacing the velocity term by a local fractional derivative. The solution of this equation is a Levy process. We further consider the Brownian motion of a fractal particle,…
Operator self-similar processes, as an extension of self-similar processes, have been studied extensively. In this work, we study limit theorems for functionals of Gaussian vectors. Under some conditions, we determine that the limit of…
We find all factorized duality functions for a class of interacting particle systems. The functions we recover are self-duality functions for interacting particle systems such as zero-range processes, symmetric inclusion and exclusion…