Related papers: Kinetic Theory for Finance Brownian Motion from Mi…
We investigate the motility of a growing population of cells in a idealized setting: we consider a system of hard disks in which new particles are added according to prescribed growth kinetics, thereby dynamically changing the number…
Single-file diffusion behaves as normal diffusion at small time and as anomalous subdiffusion at large time. These properties can be described by fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We…
In this paper we consider the controllability of certain class of non-autonomous neutral evolution stochastic functional differential equations, with time varying delays, driven by a fractional Brownian motion in a separable real Hilbert…
We consider a financial market where the asset price follows a fractional Brownian motion. We introduce a family of investment strategies, and quantify profit possibilities for both persistent and antipersistant markets.
We derive an asymptotic expansion for the quadratic variation of a stochastic process satisfying a stochastic differential equation driven by a fractional Brownian motion, based on the theory of asymptotic expansion of Skorohod integrals…
We study a generalized geometric Brownian motion framework that incorporates both entries of new units and exit mechanisms for the current population, extending earlier stochastic resetting models where these rates are treated as identical.…
For classical many-body systems subject to Brownian dynamics we develop a superadiabatic dynamical density functional theory (DDFT) for the description of inhomogeneous fluids out-of-equilibrium. By explicitly incorporating the dynamics of…
Levy flights and fractional Brownian motion (fBm) have become exemplars of the heavy tailed jumps and long-ranged memory widely seen in physics. Natural time series frequently combine both effects, and linear fractional stable motion (lfsm)…
Quantum Field Theory (QFT) makes predictions by combining two sets of assumptions: (1) quantum dynamics, such as a Schrodinger or Liouville equation; (2) quantum measurement, such as stochastic collapse to an eigenfunction of a measurement…
Brownian motion near soft surfaces is a situation widely encountered in nanoscale and biological physics. However, a complete theoretical description is lacking to date. Here, we theoretically investigate the dynamics of a two-dimensional…
Brownian motion has served as a pilot of studies in diffusion and other transport phenomena for over a century. The foundation of Brownian motion, laid by Einstein, has generally been accepted to be far from being complete since the late…
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p$-multivariate self-similar Gaussian…
The diversity of diffusive systems exhibiting long-range correlations characterized by a stochastically varying Hurst exponent calls for a generic multifractional model. We present a simple, analytically tractable model which fills the gap…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…
Fractional Brownian motion with the Hurst parameter $H<\frac{1}{2}$ is used widely, for instance, to describe a 'rough' stochastic volatility process in finance. In this paper, we examine an Ait-Sahalia-type interest rate model driven by a…
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a fractional Brownian motion with a small value for the Hurst…
An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in…
Brownian motion is a ubiquitous physical phenomenon across the sciences. After its discovery by Brown and intensive study since the first half of the 20th century, many different aspects of Brownian motion and stochastic processes in…
Let $X$ be a (two-sided) fractional Brownian motion of Hurst parameter $H\in (0,1)$ and let $Y$ be a standard Brownian motion independent of $X$. Fractional Brownian motion in Brownian motion time (of index $H$), recently studied in…
Using structures of Abstract Wiener Spaces, we define a fractional Brownian field indexed by a product space $(0,1/2] \times L^2(T,m)$, $(T,m)$ a separable measure space, where the first coordinate corresponds to the Hurst parameter of…