Related papers: Linear Multifractional Stable Motion: wavelet esti…
We study the first-passage time, the distribution of the maximum, and the absorption probability of fractional Brownian motion of Hurst parameter $H$ with both a linear and a non-linear drift. The latter appears naturally when applying…
We study differential equations with a linear, path dependent drift and discrete delay in the diffusion term driven by a $\gamma$-H\"older rough path for $\gamma > \frac{1}{3}$. We prove well-posedness of these systems and establish a…
We consider the rough differential equations driven by tempered fractional Brownian motion with Hurst index $H\in (\frac{1}{4}, \frac{1}{3})$ and tempered parameter $\lambda>0$. First, by means of piecewise linear approximation, we…
We consider the time discretization of fractional stochastic wave equation with Gaussian noise, which is negatively correlated. Major obstacles to design and analyze time discretization of stochastic wave equation come from the…
Consider the case that we observe $n$ independent and identically distributed copies of a random variable with a probability distribution known to be an element of a specified statistical model. We are interested in estimating an infinite…
This paper addresses the exponential stability of the trivial solution of some types of evolution equations driven by H\"older continuous functions with H\"older index greater than $1/2$. The results can be applied to the case of equations…
Robust estimation has played an important role in statistical and machine learning. However, its applications to functional linear regression are still under-developed. In this paper, we focus on Huber's loss with a diverging robustness…
To model a given time series $F(t)$ with fractal Brownian motions (fBms), it is necessary to have appropriate error assessment for related quantities. Usually the fractal dimension $D$ is derived from the Hurst exponent $H$ via the relation…
This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…
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…
In this work we present different results concerning the signature and the cubature of fractional Brownian motion (fBm). The first result regards the rate of convergence of the expected signature of the linear piecewise approximation of the…
We perform a detailed study of the relaxation towards equilibrium in the Hamiltonian Mean-Field (HMF) model, a prototype for long-range interactions in $N$-particle dynamics. In particular, we point out the role played by the infinity of…
We combine the rough path theory and stochastic backward error analysis to develop a new framework for error analysis on numerical schemes. Based on our approach, we prove that the almost sure convergence rate of the modified Milstein…
In this paper, we construct operator fractional L\'evy motion (ofLm), a broad class of non-Gaussian stochastic processes that are covariance operator self-similar, have wide-sense stationary increments and display infinitely divisible…
For equidistant discretizations of fractional Brownian motion (fBm), the probabilities of ordinal patterns of order d=2 are monotonically related to the Hurst parameter H. By plugging the sample relative frequency of those patterns…
Fractal behavior and long-range dependence have been observed in an astonishing number of physical systems. Either phenomenon has been modeled by self-similar random functions, thereby implying a linear relationship between fractal…
A number of different analysis techniques have been used to analyze long-term time series data from different rivers, starting with the determination of the Hurst coefficient. We summarize the concept of fractals, multifractals and…
Let $\{b_H(t),t\in\mathbb{R}\}$ be the fractional Brownian motion with parameter $0<H<1$. When $1/2<H$, we consider diffusion equations of the type \[X(t)=c+\int_0^t\sigma\bigl(X(u)\bigr)\mathrm {d}b_H(u)+\int _0^t\mu\bigl(X(u)\bigr)\mathrm…
We propose a wavelet-based approach to construct consistent estimators of the pointwise H\"older exponent of a multifractional Brownian motion, in the case where this underlying process is not directly observed. The relative merits of our…
A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the point-wise and uniform weak and strong consistency and a…