Related papers: On Fractional Tempered Stable Motion
In this paper we introduce the notion of fractional martingale as the fractional derivative of order $\alpha$ of a continuous local martingale, where $\alpha\in(-{1/2},{1/2})$, and we show that it has a nonzero finite variation of order…
We study the pointwise regularity of the Multifractional Brownian Motion and in particular, we get the existence of slow points. It shows that a non self-similar process can still enjoy this property. We also consider various extensions of…
Fluidisation is the process by which the weight of a bed of particles is supported by a gas flow passing through it from below. When fluidised materials flow down an incline, the dynamics of the motion differ from their non-fluidised…
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.…
A novel representation of functions, called generalized Taylor form, is applied to the filtering of white noise processes. It is shown that every Gaussian colored noise can be expressed as the output of a set of linear fractional stochastic…
The main purpose of this paper is to study the fractional-order system with Caputo derivative associated to single Stokes pulse. The dynamic behavior for this fractional model (called the fractional Stokes system) is investigated,…
This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature, our approach uniquely accommodates the full range of model…
Constructions of numerous approximate sampling algorithms are based on the well-known fact that certain Gibbs measures are stationary distributions of ergodic stochastic differential equations (SDEs) driven by the Brownian motion. However,…
We consider fractional Brownian motion with the Hurst parameters from (1/2,1). We found that the increment of a fractional Brownian motion can be represented as the sum of a two independent Gaussian processes one of which is smooth in the…
In this note we consider generalized diffusion equations in which the diffusivity coefficient is not necessarily constant in time, but instead it solves a nonlinear fractional differential equation involving fractional Riemann-Liouville…
Properties of the phase space of the standard map with memory are investigated. This map was obtained from a kicked fractional differential equation. Depending on the value of the parameter of the map and the fractional order of the…
Motivated by stochastic models of climate phenomena, the steady-state of a linear stochastic model with additive Gaussian white noise is studied. Fluctuation theorems for nonequilibrium steady-states provide a constraint on the character of…
We study the problem of optimal approximation of a fractional Brownian motion by martingales. We prove that there exist a unique martingale closest to fractional Brownian motion in a specific sense. It shown that this martingale has a…
Normal human heart rate shows complex fluctuations in time, which is natural, since heart rate is controlled by a large number of different feedback control loops. These unpredictable fluctuations have been shown to display fractal…
Stochastic transport due to a velocity field modeled by the superposition of small-scale divergence free vector fields activated by Fractional Gaussian Noises (FGN) is numerically investigated. We present two non-trivial contributions: the…
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and…
We investigate first and second order fluctuations of additive functionals of a fractional Brownian motion (fBm) of the form \begin{align}\label{eq:abstractmain} Z_n=\left\{\int_{0}^{t}f(n^{H}(B_{s}-\lambda))ds\ ; t\geq 0 \right\}…
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 analyze statistically the energization of particles in a large scale environment of strong turbulence that is fragmented into a large number of distributed current filaments. The turbulent environment is generated through strongly…
In this paper, we introduce a class of stochastic partial differential equations (SPDEs) with fractional time-derivatives, and study the $L_2$-theory of the equations. This class of SPDEs can be used to describe random effects on transport…