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Stochastic analysis, rough path analysis and fractional Brownian motions

โœ Scribed by Laure Coutin; Zhongmin Qian

Publisher
Springer
Year
2002
Tongue
English
Weight
256 KB
Volume
122
Category
Article
ISSN
1432-2064

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Modelling and analysis of fractional Bro
Modelling and analysis of fractional Brownian motions
โœ O. Magrรฉ; M. Guglielmi ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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