Statistical Inference with Fractional Brownian Motion

2005 ◽  
Vol 8 (1) ◽  
pp. 71-93 ◽  
Author(s):  
Alexander Kukush ◽  
Yulia Mishura ◽  
Esko Valkeila
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Statistical Inference

scholarly journals Statistical Inference in Fractional Brownian Motion

2017 ◽  
Vol 10 (2) ◽  
pp. 317-327
Author(s):  
میثم مقیم بیگی ◽  
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Statistical Inference

scholarly journals A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm

2014 ◽  
Vol 51 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Dawei Hong ◽  
Shushuang Man ◽  
Jean-Camille Birget ◽  
Desmond S. Lun
Keyword(s):  
Brownian Motion ◽  
Convergence Rate ◽  
Fractional Brownian Motion ◽  
Parallel Algorithm ◽  
Uniform Approximation ◽  
Haar Wavelets ◽  
Hurst Index ◽  
Sample Paths ◽  
Vanishing Moment ◽  
Uniform Expansion

We construct a wavelet-based almost-sure uniform approximation of fractional Brownian motion (FBM) (Bt(H))_t∈[0,1] of Hurst index H ∈ (0, 1). Our results show that, by Haar wavelets which merely have one vanishing moment, an almost-sure uniform expansion of FBM for H ∈ (0, 1) can be established. The convergence rate of our approximation is derived. We also describe a parallel algorithm that generates sample paths of an FBM efficiently.

Pricing geometric asian power options in the sub-fractional brownian motion environment

2021 ◽  
Vol 145 ◽  
pp. 110754
Author(s):  
WEI WANG ◽  
GUANGHUI CAI ◽  
XIANGXING TAO
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion

Global attracting sets of neutral stochastic functional integro-differential equations driven by a fractional Brownian motion

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
A. Bakka ◽  
S. Hajji ◽  
D. Kiouach
Keyword(s):  
Hilbert Space ◽  
Fixed Point ◽  
Brownian Motion ◽  
Differential Equations ◽  
Fractional Brownian Motion ◽  
Sufficient Conditions ◽  
Integrodifferential Equations ◽  
Hurst Parameter ◽  
Fixed Point Principle ◽  
Stochastic Functional

Abstract By means of the Banach fixed point principle, we establish some sufficient conditions ensuring the existence of the global attracting sets of neutral stochastic functional integrodifferential equations with finite delay driven by a fractional Brownian motion (fBm) with Hurst parameter H ∈ ( 1 2 , 1 ) {H\in(\frac{1}{2},1)} in a Hilbert space.

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