Related papers: Multidimensional bifractional Brownian motion: Ito…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a…
We derive integral formulas, involving the Airy function, for moments of the time a two-sided Brownian motion with parabolic drift attains its maximum.
The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalization for both fractional, sub-fractional, and standard Brownian motion. Here we study its use as the main driver for price fluctuations,…
In this paper, we provide two approximations in law of operator fractional Brownian motions. One is constructed by Poisson processes, and the other generalizes a result of Taqqu (1975).
The signature of Brownian motion in $\mathbb{R}^{d}$ over a running time interval $[0,T]$ is the collection of all iterated Stratonovich path integrals along the Brownian motion. We show that, in dimension $d\geq 2$, almost all Brownian…
A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko (Theory Probab Math Stat 80, 2010) and Boufoussi et al.…
Our aim in this paper is to improve H\"{o}lder continuity results for the bifractional Brownian motion (bBm) $(B^{\alpha,\beta}(t))_{t\in[0,1] }$ with $0<\alpha<1$ and $0<\beta\leq 1$. We prove that almost all paths of the bBm belong (resp.…
In this paper we study the existence of a unique solution to a general class of Young delay differential equations driven by a H\"older continuous function with parameter greater that 1/2 via the Young integration setting. Then some…
For a fractional Brownian motion $B^H$ with Hurst parameter $H\in]{1/4},{1/2}[\cup]{1/2},1[$, multiple indefinite integrals on a simplex are constructed and the regularity of their sample paths are studied. Then, it is proved that the…
We consider convolution-type stochastic Volterra equations with additive Hilbert-valued fractional Brownian motion, $0<H<1$. We find the weak solution to this stochastic Volterra equation, and study its stochastic integral part, the…
Brownian motions in the infinite-dimensional group of all unitary operators are studied under strong continuity assumption rather than norm continuity. Every such motion can be described in terms of a countable collection of independent…
We present a method for computing parameter sensitivities and response coefficients in Brownian dynamics simulations. The method involves tracking auxiliary variables (Malliavin weights) in addition to the usual particle positions, in an…
The purpose of this paper is to establish the convergence in law of the sequence of "midpoint" Riemann sums for a stochastic process of the form f'(W), where W is a Gaussian process whose covariance function satisfies some technical…
We consider the identification problem of a noncausal Ito process from its stochastic Fourier coefficients with respect to the complete system of trigonometric functions. Here, a noncausal Ito process is the extension of Ito process whose…
If we compose a smooth function g with fractional Brownian motion B with Hurst index H > 1/2, then the resulting change of variables formula [or It/^o- formula] has the same form as if fractional Brownian motion would be a continuous…
For $d \geq 2$ let $B$ be standard $d$-dimensional Brownian motion. For any $\alpha < 1/d$ we construct an $\alpha$-H\"{o}lder continuous function $f \colon [0,1] \to \mathbb{R}^d$ so that the range of $B-f$ covers an open set. This…
It is well known that for standard Brownian motion $ \{B(t), \;t \geq 0\}$ with values in $\mathbb{R}^d$ its convex hull $ V(t)=\conv \{\{\,B(s),\;s \leq t \}$ with probability 1 contains 0 as an interior point for each $t > 0$ (see…
In this paper, we study the existence and uniqueness of a class of stochastic differential equations driven by fractional Brownian motions with arbitrary Hurst parameter $H\in (0,1)$. In particular, the stochastic integrals appearing in the…
In this paper we consider the drift estimation problem for a general differential equation driven by an additive multidimensional fractional Brownian motion, under ergodic assumptions on the drift coefficient. Our estimation procedure is…
Multifractional Brownian motion is an extension of the well-known fractional Brownian motion where the Holder regularity is allowed to vary along the paths. In this paper, two kind of multi-parameter extensions of mBm are studied: one is…