scholarly journals Mean-square dissipativity of numerical methods for a class of resource-competition models with fractional Brownian motion

2017 ◽  
Vol 5 (1) ◽  
pp. 268-277
Author(s):  
Yonggang Ma ◽  
Qimin Zhang ◽  
Ming Ye
Keyword(s):  
Brownian Motion ◽  
Numerical Methods ◽  
Fractional Brownian Motion ◽  
Resource Competition ◽  
Mean Square ◽  
Competition Models

ASYMPTOTIC BEHAVIOUR OF A CLASS OF RESOURCE COMPETITION BIOLOGY SPECIES SYSTEM BY THE FRACTIONAL BROWNIAN MOTION

2017 ◽  
Vol 58 (3-4) ◽  
pp. 491-499
Author(s):  
Q. ZHANG ◽  
M. YE ◽  
H. LEI ◽  
Q. JIN
Keyword(s):  
Brownian Motion ◽  
Asymptotic Behaviour ◽  
Fractional Brownian Motion ◽  
Lyapunov Functional ◽  
Resource Competition ◽  
Mortality Rates ◽  
Mean Square ◽  
Chemostat Model ◽  
Extrinsic Noise ◽  
The Mean

We analyse the asymptotic behaviour of a biological system described by a stochastic competition model with $n$ species and $k$ resources (chemostat model), in which the species mortality rates are influenced by the fractional Brownian motion of the extrinsic noise environment. By constructing a Lyapunov functional, the persistence and extinction criteria are derived in the mean square sense. Some examples are given to illustrate the effectiveness of the theoretical result.

scholarly journals On some statistics of fractional Brownian motion

2021 ◽  
pp. 131-138
Author(s):  
Viktor Bondarenko
Keyword(s):  
Stochastic Process ◽  
Time Series ◽  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Hurst Exponent ◽  
Limit Theorems ◽  
Goodness Of Fit ◽  
Mean Square ◽  
One Step ◽  
Optimal Forecasting

Fractional Brownian motion as a method for estimating the parameters of a stochastic process by variance and one-step increment covariance is proposed and substantiated. The root-mean-square consistency of the constructed estimates has been proven. The obtained results complement and generalize the consequences of limit theorems for fractional Brownian motion, that have been proved in the number of articles. The necessity to estimate the variance is caused by the absence of a base unit of time and the estimation of the covariance allows one to determine the Hurst exponent. The established results let the known limit theorems to be used to construct goodness-of-fit criteria for the hypothesis “the observed time series is a transformation of fractional Brownian motion” and to estimate the error of optimal forecasting for time series.

scholarly journals Distance between the fractional Brownian motion and the space of adapted Gaussian martingales

2019 ◽  
Vol 24 (4) ◽  
Author(s):  
Yuliya Mishura ◽  
Sergiy Shklyar
Keyword(s):  
Brownian Motion ◽  
Stochastic Processes ◽  
Fractional Brownian Motion ◽  
Convex Analysis ◽  
Minimax Problem ◽  
Mean Square ◽  
Martingale Representation

We consider the distance between the fractional Brownian motion defined on the interval [0,1] and the space of Gaussian martingales adapted to the same filtration. As the distance between stochastic processes, we take the maximum over [0,1] of mean-square deviances between the values of the processes. The aim is to calculate the function a in the Gaussian martingale representation ∫0ta(s)dWs that minimizes this distance. So, we have the minimax problem that is solved by the methods of convex analysis. Since the minimizing function a can not be either presented analytically or calculated explicitly, we perform discretization of the problem and evaluate the discretized version of the function a numerically.

scholarly journals Linear filtering with fractional Brownian motion in the signal and observation processes

1999 ◽  
Vol 12 (1) ◽  
pp. 85-90 ◽  
Author(s):  
M. L. Kleptsyna ◽  
P. E. Kloeden ◽  
V. V. Anh
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Wiener Process ◽  
Integral Equations ◽  
Hurst Index ◽  
Mean Square ◽  
Linear Filtering ◽  
Observation Process ◽  
The Mean ◽  
Filtering Problem

Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h∈(3/4,1) and the noise in the observation process includes a fractional Brownian motion as well as a Wiener process.

Numerics for the fractional Langevin equation driven by the fractional Brownian motion

2013 ◽  
Vol 16 (1) ◽  
Author(s):  
Peng Guo ◽  
Caibin Zeng ◽  
Changpin Li ◽  
YangQuan Chen
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Fractional Order ◽  
Langevin Equation ◽  
Mean Square Displacement ◽  
Hurst Parameter ◽  
Mean Square ◽  
Fractional Langevin Equation ◽  
Normal Diffusion ◽  
The Mean

AbstractWe study analytically and numerically the fractional Langevin equation driven by the fractional Brownian motion. The fractional derivative is in Caputo’s sense and the fractional order in this paper is α = 2 − 2H, where H ∈ ($\tfrac{1} {2} $, 1) is the Hurst parameter (or, index). We give numerical schemes for the fractional Langevin equation with or without an external force. From the figures we can find that the mean square displacement of the fractional Langevin equation has the property of the anomalous diffusion. When the fractional order tends to an integer, the diffusion reduces to the normal diffusion.

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