Related papers: Characterising lognormal fractional-Brownian-motio…
We implement Bayesian model selection and parameter estimation for the case of fractional Brownian motion with measurement noise and a constant drift. The approach is tested on artificial trajectories and shown to make estimates that match…
The fractional Brownian motion (fBm) is a paradigmatic strongly non-Markovian process with broad applications in various fields. Despite their importance, the properties of the territory covered by a $d$-dimensional fBm have remained…
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 use an off-lattice discretization of fractional Brownian motion and a Metropolis Algorithm to determine the asymptotic scaling of this discretized fractional Brownian motion under the influence of an excluded volume as in the Edwards and…
Fast radio bursts (FRBs) are bright, mostly millisecond-duration transients of extragalactic origin whose emission mechanisms remain unknown. As FRB signals propagate through ionized media, they experience frequency-dependent delays…
In this paper we will consider the LAN property for both the Hurst parameter $H>3/4$ and the variance of the fractional Brownian motion plus an independent standard Brownian motion (called mixed fractional Brownian motion) with…
Operator fractional Brownian motion (OFBM) is the natural vector-valued extension of the univariate fractional Brownian motion. Instead of a scalar parameter, the law of an OFBM scales according to a Hurst matrix that affects every…
Many models of fractal growth patterns (like Diffusion Limited Aggregation and Dielectric Breakdown Models) combine complex geometry with randomness; this double difficulty is a stumbling block to their elucidation. In this paper we…
In the realm of fractal geometry, intricate structures emerge from simple iterative processes that partition parameter spaces into regions of stability and instability. Likewise, training large language models involves iteratively applying…
Building upon the work of Hu, Paz, and Zhang [1,2] on open quantum systems we consider the quantum Brownian motion (QBM) model with one oscillator (position variable $x$) as the system, {\it nonlinearly} coupled to an environment of $N$…
In this paper we propose a novel texture descriptor called Fractal Weighted Local Binary Pattern (FWLBP). The fractal dimension (FD) measure is relatively invariant to scale-changes, and presents a good correlation with human viewpoint of…
The modeling of realistic magnetic materials requires the inclusion of defects. Based on the pseudospectral Landau-Lifshitz description of magnetisation dynamics, we propose a statistical model that takes into account defects, specifically…
Wireless mesh networks (WMNs) depend on the spatial distribution of nodes, which directly influences connectivity, routing efficiency, and overall network performance. Conventional models typically assume uniform or random node placement,…
It is proposed a class of statistical estimators $\hat H =(\hat H_1, \ldots, \hat H_d)$ for the Hurst parameters $H=(H_1, \ldots, H_d)$ of fractional Brownian field via multi-dimensional wavelet analysis and least squares, which are…
This research explores the reliability of deep learning, specifically Long Short-Term Memory (LSTM) networks, for estimating the Hurst parameter in fractional stochastic processes. The study focuses on three types of processes: fractional…
We consider a problem of statistical estimation of an unknown drift parameter for a stochastic differential equation driven by fractional Brownian motion. Two estimators based on discrete observations of solution to the stochastic…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…
Fractal structure of a system suggests the optimal way in which parts arranged or put together to form a whole. The ideas from fractals have a potential application to the researches on urban sustainable development. To characterize fractal…
We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy when analyzing fractional Brownian motion (fBm) time series--these series are synthetically generated. Both quantifiers are mainly used to…
Data driven approaches have the potential to make modeling complex, nonlinear physical phenomena significantly more computationally tractable. For example, computational modeling of fracture is a core challenge where machine learning…