相关论文: Spectral content of fractional Brownian motion wit…

The probability distribution of the maximum $M_t$ of a single resetting Brownian motion (RBM) of duration $t$ and resetting rate $r$, properly centred and scaled, is known to converge to the standard Gumbel distribution of the classical…

Let H be a Hilbert space and E a Banach space. We set up a theory of stochastic integration of L(H,E)-valued functions with respect to H-cylindrical Liouville fractional Brownian motions (fBm) with arbitrary Hurst parameter in the interval…

Processes controlled by stochastic synthesis and degradation (SSD) are widespread in biology but their reaction kinetics are not well understood. Using methods borrowed from the theory of resetting processes, we determine the first-passage…

Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of…

The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the random time changes $(E_t)_{t\ge 0}$ considered include the…

This work contains two single-letter upper bounds on the entropy rate of a discrete-valued stationary stochastic process, which only depend on second-order statistics, and are primarily suitable for models which consist of relatively large…

Spectral density functions quantify how environmental modes couple to quantum systems and govern their open dynamics. Inferring such frequency-dependent functions from time-domain measurements is an ill-conditioned inverse problem. Here, we…

We consider a class of nonlinear stochastic differential equations, giving the power-law behavior of the power spectral density in any desirably wide range of frequency. Such equations were obtained starting from the point process models of…

In this article, an uniform discretization of stochastic integrals $\int_{0}^{1} f'_-(B_t)\ud B_t$, with respect to fractional Brownian motion with Hurst parameter $H \in (1/2,1)$, for a large class of convex functions $f$ is considered. In…

We show existence and uniqueness of invariant measures for SDE of the form \[ dX_t = g(X_t)dt + u(X_t)dt + dW^H_t \] where $W^H$ is a fractional Brownian motion (fBm) with Hurst parameter $H\in (0,\frac{1}{2})$, $u$ is a linearly dispersive…

We show by explicit closed form calculations that a Hurst exponent H that is not 1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of…

Stochastic averaging for a class of stochastic differential equations (SDEs) with fractional Brownian motion, of the Hurst parameter H in the interval (1/2, 1), is investigated. An averaged SDE for the original SDE is proposed, and their…

The dynamical behavior for a quantum Brownian particle is investigated under a random potential of the fractional iterative map on a one-dimensional lattice. For our case, the quantum expectation values can be obtained numerically from the…

We have measured the low-frequency resistance fluctuations (1 mHz<f<10 Hz) in Ag nanowires of diameter 15 nm<d<200 nm at room temperatures. The power spectral density (PSD) of the fluctuations has a 1/f^{\alpha} character as seen in…

We present Fractional Diffusion Bridge Models (FDBM), a novel generative diffusion bridge framework driven by an approximation of the rich and non-Markovian fractional Brownian motion (fBM). Real stochastic processes exhibit a degree of…

We study analytically the single-trajectory spectral density (STSD) of an active Brownian motion as exhibited, for example, by the dynamics of a chemically-active Janus colloid. We evaluate the standardly-defined spectral density, i.e. the…

We discuss how to construct reliably well "a lattice and an integer time" version of a super-diffusive continuous-space and -time fractional Brownian motion (fBm) -- an experimentally-relevant non-Markovian Gaussian stochastic process with…

We provide evidence that for some values of the parameters a simple agent based model, describing herding behavior, yields signals with 1/f power spectral density. We derive a non-linear stochastic differential equation for the ratio of…

In this article, we study the numerical approximation of stochastic differential equations driven by a multidimensional fractional Brownian motion (fBm) with Hurst parameter greater than 1/3. We introduce an implementable scheme for these…

In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards this end, we apply Doss-Sussmann representation of the solution and an…