✦ LIBER ✦

Hurst exponents, Markov processes, and fractional Brownian motion

✍ Scribed by Joseph L. McCauley; Gemunu H. Gunaratne; Kevin E. Bassler

Publisher: Elsevier Science
Year: 2007
Tongue: English
Weight: 180 KB
Volume: 379
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2006.12.028

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Relationship of second-order lacunarity,

Relationship of second-order lacunarity, Hurst exponent, Brownian motion, and pattern organization

✍ R.A. Feagin 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 193 KB

Second-order lacunarity metrics are related to the Hurst exponent H . Fractional Brownian motion with H = 0:5 is used as a benchmark for quantifying patterns. Local versus global correlation, and implications for pattern organization, are discussed.

Markov processes, Hurst exponents, and n

Markov processes, Hurst exponents, and nonlinear diffusion equations: With application to finance

✍ Kevin E. Bassler; Gemunu H. Gunaratne; Joseph L. McCauley 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 180 KB

Wavelet entropy and fractional Brownian

Wavelet entropy and fractional Brownian motion time series

✍ D.G. Pérez; L. Zunino; M. Garavaglia; O.A. Rosso 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 192 KB

Option pricing with regulated fractional

Option pricing with regulated fractional Brownian motion

✍ Aldabe, F. ;Barone-Adesi, G. ;Elliott, R. J. 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 101 KB

Standard and fractional Brownian motions are known to be unsatisfactory models of asset prices. A new class of continuous-time stochastic processes, RFBM, is proposed to remedy some of the shortcomings of current models. RFBM lead to valuation formulas similar to Black}Scholes, but with volatility i

Modelling and analysis of fractional Bro

Modelling and analysis of fractional Brownian motions

✍ O. Magré; M. Guglielmi 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 544 KB

This paper deals with the study of fractional Brownian motion (tam) and fractional Brownian noises. First. we study the Barnes and Allan model, which is very close to the (tbm). Then, we propose an infinite dimension state model, where each state is the solution of a first order differential equatio

On Synthesizing Discrete Fractional Brow

On Synthesizing Discrete Fractional Brownian Motion with Applications to Image Processing

✍ W.M. Krueger; S.D. Jost; K. Rossi; U. Axen 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 419 KB

wavelets for fractal modulation on a noisy communication channel. Voss [18, 19] and Saupe [15] use various syntheses This paper evaluates the following four methods for synthesizing discrete fractional Brownian motion (dfBm): sampled of fBm to render fractal landscapes. ## fBm, displaced interpolat