Related papers: Explicit construction of joint multipoint statisti…
We present a class of stochastic processes in which the large deviation functions of time-integrated observables exhibit singularities that relate to dynamical phase transitions of trajectories. These illustrative examples include Brownian…
Many fractional processes can be represented as an integral over a family of Ornstein-Uhlenbeck processes. This representation naturally lends itself to numerical discretizations, which are shown in this paper to have strong convergence…
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions,…
Brownian motion and fractional Brownian motion have been widely applied in statistical modeling in finance, telecommunication, network traffic, neuroscience, physics, and other fields. More realistic models for real time series data, such…
The time evolution of complex systems usually can be described through stochastic processes. These processes are measured at finite resolution, what necessarily reduces them to finite sequences of real numbers. In order to relate these data…
We examine two stochastic processes with random parameters, which in their basic versions (i.e., when the parameters are fixed) are Gaussian and display long range dependence and anomalous diffusion behavior, characterized by the Hurst…
We obtain strong consistency and asymptotic normality of a least squares estimator of the drift coefficient for complex-valued Ornstein-Uhlenbeck processes disturbed by fractional noise, extending the result of Y. Hu and D. Nualart,…
Systems switching between different dynamical phases is an ubiquitous phenomenon. The general understanding of such a process is limited. To this end, we present a general expression that captures fluctuations of a system exhibiting a…
This article investigates several properties related to densities of solutions X to differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4. We first determine conditions for strict positivity of the density…
Spectral line-shapes provide a window into the local environment coupled to a quantum transition in the condensed phase. In this paper, we build upon a stochastic model to account for non-stationary background processes produced by…
We investigate the stochastic behavior of the single-trajectory spectral density $S(\omega,\mathcal{T})$ of several Gaussian stochastic processes, i.e., Brownian motion, the Ornstein-Uhlenbeck process, the Brownian gyrator model and…
We propose to verify relations between quantities which characterize scaling properties of high energy density fluctuations in terms of factorial moments and newly introduced associated frequency moments. Typical examples are presented in…
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time observations. Specifically, we consider $N$ independent…
Fractional Brownian motion (fBm) is an important scale-invariant Gaussian non-Markovian process with stationary increments, which serves as a prototypical example of a system with long-range temporal correlations and anomalous diffusion.…
We study the dynamics of inertial particles in turbulence using datasets obtained from both direct numerical simulations and laboratory experiments of turbulent swirling flows. By analyzing time series of particle velocity increments at…
Three one-body profiles that correspond to local fluctuations in energy, in entropy, and in particle number are used to describe the equilibrium properties of inhomogeneous classical many-body systems. Local fluctuations are obtained from…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
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…
Three-dimensional, as well as one- and two-dimensional, studies of multiplicity fluctuation are performed using AMPT model to generate central Au-Au collision events at ${\sqrt s_{NN}}= 200$ GeV. Two- and three-dimensional normalized…
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…