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

This paper discusses the fractional diffusion equation forced by a tempered fractional Gaussian noise. The fractional diffusion equation governs the probability density function of the subordinated killed Brownian motion. The tempered…

A method for measuring the spectrum of a density field by a discrete wavelet space-scale decomposition (SSD) has been studied. We show how the power spectrum can effectively be described by the father function coefficients (FFC) of the…

For a stochastic differential equation(SDE) driven by a fractional Brownian motion(fBm) with Hurst parameter $H>\frac{1}{2}$, it is known that the existing (naive) Euler scheme has the rate of convergence $n^{1-2H}$. Since the limit…

In this paper we study upper bounds for the density of solution of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/3. We show that under some geometric conditions, in the regular case H >…

We consider scaled Brownian motion (sBm), a random process described by a diffusion equation with explicitly time-dependent diffusion coefficient $D(t) = D_0 t^{\alpha - 1}$ (Batchelor's equation) which, for $\alpha < 1$, is often used for…

We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…

The steady state distribution of the position of a Brownian particle diffusing in logarithmic-harmonic potential with stochastic resetting is obtained analytically. We show that there are two critical conditions that determine the behavior…

We study ergodic properties of one-dimensional Brownian motion with resetting. Using generic classes of statistics of times between resets, we find respectively for thin/fat tailed distributions, the normalized/non-normalised invariant…

The aim of this work is to provide the first strong convergence result of numerical approximation of a general time-fractional second order stochastic partial differential equation involving a Caputo derivative in time of order…

In this note we consider stochastic differential equations driven by fractional Brownian motions (fBm) with Hurst parameter $H>1/3$. We prove that the corresponding modified Euler scheme and its Malliavin derivatives are integrable,…

The fractional Brownian motion (fBm) is parameterized by the Hurst exponent $H\in(0,1)$, which determines the dependence structure and regularity of sample paths. Empirical findings suggest that the Hurst exponent may be non-constant in…

We consider stochastic integration with respect to fractional Brownian motion (fBm) with $H < 1/2$. The integral is constructed as the limit, where it exists, of a sequence of Riemann sums. A theorem by Gradinaru, Nourdin, Russo & Vallois…

We study the effects of stochastic resetting on the Reallocating geometric Brownian motion (RGBM), an established model for resource redistribution relevant to systems such as population dynamics, evolutionary processes, economic activity,…

Fast Radio Bursts (FRBs), a class of millisecond-scale, highly energetic phenomena with unknown progenitors and radiation mechanisms, require proper statistical analysis as a key method for uncovering their mysteries. In this research, we…

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 investigate numerical approximations for the stochastic Burgers equation driven by an additive cylindrical fractional Brownian motion with Hurst parameter $H \in (\frac{1}{2}, 1)$. To discretize the continuous problem in space, a…

The fractional Brownian motion of index $0 < H < 1$, H-FBM, with d-dimensional time is considered on an expanding set TG, where G is a bounded convex domain that contains 0 at its boundary. The main result: if 0 is a point of smoothness of…

We prove the existence of a diffusion process whose invariant measure is the fractional polymer or Edwards measure for fractional Brownian motion in dimension $d\in\mathbb{N}$ with Hurst parameter $H\in(0,1)$ fulfilling $dH < 1$. The…

Levy flights and fractional Brownian motion (fBm) have become exemplars of the heavy tailed jumps and long-ranged memory widely seen in physics. Natural time series frequently combine both effects, and linear fractional stable motion (lfsm)…

We study the distribution of additive functionals of reset Brownian motion, a variation of normal Brownian motion in which the path is interrupted at a given rate and placed back to a given reset position. Our goal is two-fold: (1) For…