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.

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

2014 ◽  
Vol 51 (01) ◽  
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 indexH∈ (0, 1). Our results show that, by Haar wavelets which merely have one vanishing moment, an almost-sure uniform expansion of FBM forH∈ (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.

scholarly journals Second-order limit laws for occupation times of fractional Brownian motion

2017 ◽  
Vol 54 (2) ◽  
pp. 444-461 ◽  
Author(s):  
Fangjun Xu
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Method Of Moments ◽  
Second Order ◽  
Hurst Index ◽  
Occupation Times ◽  
Limit Laws ◽  
Additive Functionals ◽  
Finite Dimensional ◽  
Functional Version

Abstract We prove a second-order limit law for additive functionals of a d-dimensional fractional Brownian motion with Hurst index H = 1 / d, using the method of moments and extending the Kallianpur–Robbins law, and then give a functional version of this result. That is, we generalize it to the convergence of the finite-dimensional distributions for corresponding stochastic processes.

scholarly journals Large Time Behavior on the Linear Self-Interacting Diffusion Driven by Sub-Fractional Brownian Motion With Hurst Index Large Than 0.5 I: Self-Repelling Case

2022 ◽  
Vol 9 ◽  
Author(s):  
Han Gao ◽  
Rui Guo ◽  
Yang Jin ◽  
Litan Yan
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Large Time ◽  
Large Time Behavior ◽  
Time Behavior ◽  
Hurst Index ◽  
Interacting Diffusion ◽  
Two Parameters

Let SH be a sub-fractional Brownian motion with index 12<H<1. In this paper, we consider the linear self-interacting diffusion driven by SH, which is the solution to the equationdXtH=dStH−θ(∫0tXtH−XsHds)dt+νdt,X0H=0,where θ &lt; 0 and ν∈R are two parameters. Such process XH is called self-repelling and it is an analogue of the linear self-attracting diffusion [Cranston and Le Jan, Math. Ann. 303 (1995), 87–93]. Our main aim is to study the large time behaviors. We show the solution XH diverges to infinity, as t tends to infinity, and obtain the speed at which the process XH diverges to infinity as t tends to infinity.

scholarly journals Optimal Sequential Change Detection for Fractional Diffusion-Type Processes

2013 ◽  
Vol 50 (1) ◽  
pp. 29-41
Author(s):  
Alexandra Chronopoulou ◽  
Georgios Fellouris
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Abrupt Change ◽  
Fractional Diffusion ◽  
Hurst Index ◽  
Continuous Path ◽  
Cusum Test ◽  
Random Drift ◽  
Diffusion Type ◽  
Drift Term

The problem of detecting an abrupt change in the distribution of an arbitrary, sequentially observed, continuous-path stochastic process is considered and the optimality of the CUSUM test is established with respect to a modified version of Lorden's criterion. We apply this result to the case that a random drift emerges in a fractional Brownian motion and we show that the CUSUM test optimizes Lorden's original criterion when a fractional Brownian motion with Hurst index H adopts a polynomial drift term with exponent H+1/2.

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