:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Ichiba, Tomoyuki, Pang, Guodong, Taqqu, Murad S.
Format:	Preprint
Published:	2020
Subjects:	Probability
Online Access:	https://arxiv.org/abs/2012.00975
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

A New Compound Poisson Process and Its Fractional Versions
by: Vellaisamy, Palaniappan, et al.
Published: (2024)

Rank-based stochastic differential inclusions and diffusion limits for a load balancing model
by: Atar, Rami, et al.
Published: (2024)

Fine properties of fractional Brownian motions on Wiener space
by: Li, Jiawei, et al.
Published: (2018)

Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
by: Yang, Nicole Tianjiao, et al.
Published: (2024)

Invariant measure of gaps in degenerate competing three-particle systems
by: Franceschi, Sandro, et al.
Published: (2024)

Relative Arbitrage Opportunities with Interactions among $N$ Investors
by: Ichiba, Tomoyuki, et al.
Published: (2020)

Asymptotic Product-form Steady-state Distribution for Semimartingale Reflecting Brownian Motion in Multi-scaling Regime
by: Guang, Jin, et al.
Published: (2025)

On the slow points of fractional Brownian motion
by: Khoshnevisan, Davar, et al.
Published: (2026)

Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
by: Ichiba, Tomoyuki, et al.
Published: (2025)

The Quadratic Variation of Gauss-Markov Semimartingales
by: Kassis, Georges
Published: (2024)

Parameter estimation of integrated fractional Brownian motion
by: Mastrogiovanni, Marco, et al.
Published: (2025)

Edge homogenization of Dyson Brownian motion and applications
by: Landon, Benjamin, et al.
Published: (2025)

Bilateral Gamma Approximation in Weiner Space
by: Barman, Kalyan, et al.
Published: (2024)

Wellposedness and averaging principle for conditional distribution dependent SDEs driven by standard Brownian motions and fractional Brownian motions
by: Tan, Li, et al.
Published: (2025)

Estimation of bid and ask pricing for European option under mixed fractional Brownian motion environment with superimposed jumps
by: Rao, B. L. S. Prakasa
Published: (2024)

Tanaka formula for SDEs driven by fractional Brownian motion
by: Sottinen, Tommi, et al.
Published: (2025)

Evaluating Gaussianity of heterogeneous fractional Brownian motion
by: Balcerek, Michał, et al.
Published: (2025)

Testing of tempered fractional Brownian motions
by: Macioszek, Katarzyna, et al.
Published: (2025)

Invariance properties of Brownian motion via Lie's symmetries
by: Dehò, Susanna, et al.
Published: (2026)

A Mimicking Theorem for processes driven by fractional Brownian motion
by: Hu, Kevin, et al.
Published: (2024)

Long range voter models and dynamical fractional Brownian motion
by: Drogin, Reuben
Published: (2023)

Large deviation principle for fractional Brownian motion with respect to capacity
by: Li, Jiawei, et al.
Published: (2018)

An application of machine learning to the motion response prediction of floating assets
by: Morris-Thomas, Michael T. M. B., et al.
Published: (2025)

The inhomogeneous fractional stochastic heat equation driven by fractional Brownian motion
by: Alessa, R., et al.
Published: (2024)

Extreme value theory for geometric Brownian motion and pricing of short maturity barrier options
by: Ng, Ze-An
Published: (2025)

Strong solutions to SDEs with singular drifts driven by fractional Brownian motions
by: Gu, Jiazhen, et al.
Published: (2026)

Exponential Euler method for stiff SDEs driven by fractional Brownian motion
by: Chen, Haozhe, et al.
Published: (2024)

A criterion for absolute continuity relative to the law of fractional Brownian motion
by: Han, Xiyue, et al.
Published: (2023)

Meeting of squared Bessel flow lines and application to the skew Brownian motion
by: Aïdékon, Elie, et al.
Published: (2024)

Entropy of Wiener integrals with respect to fractional Brownian motion
by: Bodnarchuk, Iryna, et al.
Published: (2025)

Deep learning of transition probability densities for stochastic asset models with applications in option pricing
by: Su, Haozhe, et al.
Published: (2021)

Catalan Numbers, Riccati Equations and Convergence
by: Feng, Yicheng, et al.
Published: (2024)

Optimal investment with insider information using Skorokhod & Russo-Vallois integration
by: Elizalde, Mauricio, et al.
Published: (2022)

Lower classes and Chung's LILs of the fractional integrated generalized fractional Brownian motion
by: Lyu, Mengjie, et al.
Published: (2024)

An Itô-Wentzell formula for the fractional Brownian motion
by: Maia, Luís
Published: (2024)

Hadamard fractional Brownian motion: path properties and Wiener integration
by: Beghin, Luisa, et al.
Published: (2025)

Formalization of Brownian motion in Lean
by: Degenne, Rémy, et al.
Published: (2025)

Feynman Formula for Discrete-time Quantum Walks
by: Fouque, Jean-Pierre, et al.
Published: (2025)

On the stationary distribution of reflected Brownian motion in a wedge: differential properties
by: Bousquet-Mélou, M., et al.
Published: (2021)

Strassen's local law of the iterated logarithm for the generalized fractional Brownian motion
by: Wang, Ran, et al.
Published: (2024)