相关论文: On Fractional Tempered Stable Motion
In this paper the whole family of fractional Brownian motions is constructed as a single Gaussian field indexed by time and the Hurst index simultaneously. The field has a simple covariance structure and it is related to two generalizations…
From Liouville's equation, a phase-space multi-scale transport equation is systematically derived. The proposed phase-space multi-scale transport equation based on the first principle indicates that the nonlinear stochastic transport is due…
In this paper, we define a tempered space-time fractional negative binomial process (TSTFNBP) by subordinating the fractional Poisson process with an independent tempered Mittag-Leffler L\'{e}vy subordinator. We study its distributional…
We propose a generalization of the widely used fractional Brownian motion (FBM), memory-multi-FBM (MMFBM), to describe viscoelastic or persistent anomalous diffusion with time-dependent memory exponent $\alpha(t)$ in a changing environment.…
The result provided in this paper helps complete a unified picture of the scaling behavior in heavy-tailed stochastic models for transmission of packet traffic on high-speed communication links. Popular models include infinite source…
In this paper, we show how concentration inequalities for Gaussian quadratic form can be used to propose exact confidence intervals of the Hurst index parametrizing a fractional Brownian motion. Both cases where the scaling parameter of the…
Fractional Brownian motion is a non-Markovian Gaussian process $X_t$, indexed by the Hurst exponent $H$. It generalises standard Brownian motion (corresponding to $H=1/2$). We study the probability distribution of the maximum $m$ of the…
Anomalous diffusion is frequently described by scaled Brownian motion (SBM), a Gaussian process with a power-law time dependent diffusion coefficient. Its mean squared displacement is $\langle x^2(t)\rangle\simeq\mathscr{K}(t)t$ with…
A multivariate fractional Brownian motion (mfBm) with component-wise Hurst exponents is used to model and forecast realized volatility. We investigate the interplay between correlation coefficients and Hurst exponents and propose a novel…
This work focuses on moderate deviations for two-time scale systems with mixed fractional Brownian motion. Our proof uses the weak convergence method which is based on the variational representation formula for mixed fractional Brownian…
Transport phenomena are ubiquitous in nature and known to be important for various scientific domains. Examples can be found in physics, electrochemistry, heterogeneous catalysis, physiology, etc. To obtain new information about diffusive…
This paper presents a new model of textures, obtained as realizations of a new class of fractional Brownian fields. These fields, called weighted tensorized fractional Brownian fields, are obtained by a relaxation of the tensor-product…
Fractional equations governing the distribution of reflecting drifted Brownian motions are presented. The equations are expressed in terms of tempered Riemann--Liouville type derivatives. For these operators a Marchaud-type form is obtained…
We discuss the problem of bounding the Fourier transforms of stationary measures of iterated function systems (IFSs) and how the pseudo-randomness of the IFS either due to arithmetic, algebraic or geometric reasons is reflected in the…
Modeling of phenomena such as anomalous transport via fractional-order differential equations has been established as an effective alternative to partial differential equations, due to the inherent ability to describe large-scale behavior…
Dynamics of quantum systems which are perturbed by linear coupling to the reservoir stochastically can be studied in terms of quantum stochastic differential equations (for example, quantum stochastic Liouville equation and quantum Langevin…
This paper deals with stability of a certain class of fractional order linear and nonlinear systems. The stability is investigated in the time domain and the frequency domain. The general stability conditions and several illustrative…
In this paper, we consider the travel time tomography problem for conformal metrics on a bounded domain, which seeks to determine the conformal factor of the metric from the lengths of geodesics joining boundary points. We establish forward…
Security of oscillatory true random number generators remains not fully understood due to insufficient understanding of complex $1/f^\alpha$ phase noise. To bridge this gap, we introduce fractional Brownian motion as a comprehensive…
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.