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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…
Fractional Brownian motion and the fractional Langevin equation are models of anomalous diffusion processes characterized by long-range power-law correlations in time. We employ large-scale computer simulations to study these models in two…
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…
The purpose of this paper is to provide a complete description the convergence in distribution of two subsequences of the signed cubic variation of the fractional Brownian motion with Hurst parameter $H = 1/6$.
The invariance properties of Brownian motion are investigated and revisited within a recent Lie symmetry approach to stochastic differential equations. Some notable properties of the process can be recovered by a related integration by…
First, we make a revision of the up-to-date Passive Scalar Fields properties: also, the refractive index is among them. Afterwards, we formulated the properties that make the family of `isotropic' fractional Brownian motion (with parameter…
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.
We give a new representation of fractional Brownian motion with Hurst parameter H<=1/2 using stochastic partial differential equations. This representation allows us to use the Markov property and time reversal, tools which are not usually…
Fractional Brownian motion (fBm) extends classical Brownian motion by introducing dependence between increments, governed by the Hurst parameter $H\in (0,1)$. Unlike traditional Brownian motion, the increments of an fBm are not independent.…
Starting from square-integrable wave functions on a Lie group, we build an invertible Fourier transform mapping them on wave functions on the dual of the Lie algebra. This is a group-theoretic version of the map from position space to…
Let $B=(B^{(1)},B^{(2)})$ be a two-dimensional fractional Brownian motion with Hurst index $\alpha\in (0,1/4)$. Using an analytic approximation $B(\eta)$ of $B$ introduced in \cite{Unt08}, we prove that the rescaled L\'evy area process…
A uniform dimensional result for normally reflected Brownian motion (RBM) in a large class of non-smooth domains is established. Exact Hausdorff dimensions for the boundary occupation time and the boundary trace of RBM are given. Extensions…
Let H be a Hilbert space and E a Banach space. We set up a theory of stochastic integration of L(H,E)-valued functions with respect to H-cylindrical Liouville fractional Brownian motions (fBm) with arbitrary Hurst parameter in the interval…
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…
Fractional Brownian motion (fBm) is an experimentally-relevant, non-Markovian Gaussian stochastic process with long-ranged correlations between the increments, parametrised by the so-called Hurst exponent $H$; depending on its value the…
Noninertial transformations on time-position-momentum-energy space {t,q,p,e} with invariant Born-Green metric ds^2=-dt^2+dq^2/c^2+(1/b^2)(dp^2-de^2/c^2) and the symplectic metric -de/\dt+dp/\dq are studied. This U(1,3) group of…
We propose a new class of rough stochastic volatility models obtained by modulating the power-law kernel defining the fractional Brownian motion (fBm) by a logarithmic term, such that the kernel retains square integrability even in the…
Here, we provide a unified framework for numerical analysis of stochastic nonlinear fractional diffusion equation driven by fractional Gaussian noise with Hurst index $H\in(0,1)$. A novel estimate of the second moment of the stochastic…
A multivariate fractional Brownian motion (mfBm) with component-wise Hurst exponents is used to model and forecast realized volatility. We investigate the interplay between correlation coefficients and Hurst exponents and propose a novel…
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relying on geometric ideas reminiscent of the…