Fractal time series -- A tutorial review.
Li, Ming (2010)
Mathematical Problems in Engineering
Similarity:
Li, Ming (2010)
Mathematical Problems in Engineering
Similarity:
Bojdecki, Tomasz, Gorostiza, Luis G., Talarczyk, Anna (2007)
Electronic Communications in Probability [electronic only]
Similarity:
Zili, Mounir (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Kleptsyna, M.L., Kloeden, P.E., Anh, V.V. (1999)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Cheridito, Patrick, Kawaguchi, Hideyuki, Maejima, Makoto (2003)
Electronic Journal of Probability [electronic only]
Similarity:
Marianne Clausel (2012)
ESAIM: Probability and Statistics
Similarity:
In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.
Marianne Clausel (2012)
ESAIM: Probability and Statistics
Similarity:
In this paper, a new class of Gaussian field is introduced called Lacunary Fractional Brownian Motion. Surprisingly we show that usually their tangent fields are not unique at every point. We also investigate the smoothness of the sample paths of Lacunary Fractional Brownian Motion using wavelet analysis.
David Nualart, Aurel Rascanu (2002)
Collectanea Mathematica
Similarity:
A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.
Li, Ming, Zhao, Wei (2010)
Mathematical Problems in Engineering
Similarity:
Constantin Tudor, Maria Tudor (2007)
Open Mathematics
Similarity: