Related papers: Statistical Inference for Fractional Diffusions
We investigate the problem of joint statistical estimation of several parameters for a stochastic differential equation driven by an additive fractional Brownian motion. Based on discrete-time observations of the model, we construct an…
There has been considerable recent study in "sub-diffusion" models that replace the standard parabolic equation model by a one with a fractional derivative in the time variable. There are many ways to look at this newer approach and one…
We consider the problem of the Bayesian inference of drift and diffusion coefficient functions in a stochastic differential equation given discrete observations of a realisation of its solution. We give conditions for the well-posedness and…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
We survey some new progress on the pricing models driven by fractional Brownian motion \cb{or} mixed fractional Brownian motion. In particular, we give results on arbitrage opportunities, hedging, and option pricing in these models. We…
We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the index properties, but they are not differentiable. We overcome the…
In this article we study the numerical approximation of a variable coefficient fractional diffusion equation. Using a change of variable, the variable coefficient fractional diffusion equation is transformed into a constant coefficient…
Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…
In this paper we study $g$-fractional diffusion on bounded domains in $\mathbb{R}^d$ with absorbing boundary conditions. We show the explicit representation of the solution and then we study the first passage time distribution, showing the…
A dynamical treatment of Markovian diffusion is presented and several applications discussed. The stochastic interpretation of quantum mechanics is considered within this framework. A model for Brownian movement which includes second order…
Diffusion models provide a principled framework for generative modeling via stochastic differential equations and time-reversed dynamics. Extending spectral diffusion approaches to spherical data, however, raises nontrivial geometric and…
A fractional diffusion equation based on Riemann-Liouville fractional derivatives is solved exactly. The initial values are given as fractional integrals. The solution is obtained in terms of $H$-functions. It differs from the known…
In this paper, after a brief review of the general theory concerning regularized derivatives and integrals of a function with respect to another function, we provide a peculiar fractional generalization of the $(1+1)$-dimensional Dodson's…
Diffusion with stochastic transport is investigated here when the random driving process is a very general Gaussian process, including Fractional Brownian motion. The purpose is the comparison with a deterministic PDE, which in certain…
We present a finite element approach for diffusion problems with thermal fluctuations based on a fluctuating hydrodynamics model. The governing transport equations are stochastic partial differential equations with a fluctuating forcing…
We present a numerical method that consistently implements thermal fluctuations and hydrodynamic interactions to the motion of Brownian particles dispersed in incompressible host fluids. In this method, the thermal fluctuations are…
We study diffusion processes in anomalous spacetimes regarded as models of quantum geometry. Several types of diffusion equation and their solutions are presented and the associated stochastic processes are identified. These results are…
In {\em{Holm}, Proc. Roy. Soc. A 471 (2015)} stochastic fluid equations were derived by employing a variational principle with an assumed stochastic Lagrangian particle dynamics. Here we show that the same stochastic Lagrangian dynamics…
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to analyze both the effective Brownian motion and the effective…
Recently, we have proposed a new diffusive representation for fractional derivatives and, based on this representation, suggested an algorithm for their numerical computation. From the construction of the algorithm, it is immediately…