Related papers: Fractional Gaussian fields: a survey
We construct a theory of fields living on continuous geometries with fractional Hausdorff and spectral dimensions, focussing on a flat background analogous to Minkowski spacetime. After reviewing the properties of fractional spaces with…
We consider fractional Brownian motion with the Hurst parameters from (1/2,1). We found that the increment of a fractional Brownian motion can be represented as the sum of a two independent Gaussian processes one of which is smooth in the…
Consider ``stochastic differential equations" driven by fractional Brownian motion with Hurst parameter H (1/4 <H< 1). Their solutions are sometimes called fractional diffusion processes. The main purpose of this paper is conditioning these…
These are lecture notes from a course given at the CRM in Montreal in 1992. They survey the author's attempts to find and understand canonical probabilistic entities in a local field (e.g. p-adic) setting. We propose answers to the related…
We prove precise almost sure lower path regularity results for a wide class of stochastic processes in all space dimensions $d\geq 1$. Examples include Gaussian processes, in particular, fractional Brownian motions with Hurst index $H\in…
We present an innovating sensitivity analysis for stochastic differential equations: We study the sensitivity, when the Hurst parameter~$H$ of the driving fractional Brownian motion tends to the pure Brownian value, of probability…
We introduce a new fractional oscillator process which can be obtained as solution of a stochastic differential equation with two fractional orders. Basic properties such as fractal dimension and short range dependence of the process are…
We begin with isotropic Gaussian random fields, and show how the Bochner-Godement theorem gives a natural way to describe their covariance structure. We continue with a study of Mat\'ern processes on Euclidean space, spheres, manifolds and…
The degree by which a function can be differentiated need not be restricted to integer values. Usually most of the field equations of physics are taken to be second order, curiosity asks what happens if this is only approximately the case…
In previous works, Bardina and Rovira (2023) constructed a family of processes that converge strongly towards Brownian motion, defined from renewal processes, are constructed. In this paper we prove that some of these processes can be…
The goal of this paper is to establish a relation between characteristic polynomials of $N\times N$ GUE random matrices $\mathcal{H}$ as $N\to\infty$, and Gaussian processes with logarithmic correlations. We introduce a regularized version…
Stochastic models with fractional Brownian motion as source of randomness have become popular since the early 2000s. Fractional Brownian motion (fBm) is a Gaussian process, whose covariance depends on the so-called Hurst parameter $H\in…
Fractional Brownian motion (fBm) has been used as a theoretical framework to study real time series appearing in diverse scientific fields. Because its intrinsic non-stationarity and long range dependence, its characterization via the Hurst…
Directed transport of overdamped Brownian particles driven by fractional Gaussian noises is investigated in asymmetrically periodic potentials. By using Langevin dynamics simulations, we find that rectified currents occur in the absence of…
Herein we develop a dynamical foundation for fractional Brownian Motion. A clear relation is established between the asymptotic behaviour of the correlation function and diffusion in a dynamical system. Then, assuming that scaling is…
We consider the paths of a Gaussian random process $x(t)$, $x(0)=0$ not exceeding a fixed positive level over a large time interval $(0,T)$, $T\gg 1$. The probability $p(T)$ of such event is frequently a regularly varying function at…
Stochastic integration with respect to Gaussian processes, such as fractional Brownian motion (fBm) or multifractional Brownian motion (mBm), has raised strong interest in recent years, motivated in particular by applications in finance,…
Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…
When a physical system evolves in a thermal bath at a constant temperature, it arrives eventually to an equilibrium state whose properties are independent of the kinetic parameters and of the precise evolution scenario. This is generically…
In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such equation. We now consider the case of…