Keywords: 60G15; 60G18; 60G22; 60H05; 60H07; Fractional Brownian motion; Divergence integral; Stochastic integral; Fractional Bessel process;
مقالات ISI (ترجمه نشده)
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Keywords: 60F05; 60G18; 60H07; Central limit theorem; Breuer-Major theorem; Fourth Moment Theorem; Self-similar processes;
Keywords: 62M10; 60G18; 42C40; Eigenvalues; Operator fractional Brownian motion; Operator self-similarity; Wavelets;
Keywords: primary; 60G18; 60G15; Operator fractional Brownian field; Symmetry group; Anisotropy; Operator scaling; Operator self-similarity; Long range dependence;
Fractionally integrated inverse stable subordinators
Keywords: primary; 60F17; 60G17; secondary; 60G18; Hölder continuity; Inverse stable subordinator; Lamperti representation; Law of iterated logarithm; Renewal shot noise process; Self-similarity; Weak convergence in the Skorokhod space;
Keywords: 60F99; 60G18; 60G51; Small ball probability; Small deviation; Time-changed process; Iterated process; Inverse subordinator; Anomalous diffusion;
Keywords: 60G52; 60G17; 60G18; 60G60Harmonizable fractional stable field; Local nondeterminism; Local times; Joint continuity; Hölder condition; Hausdorff dimension
Keywords: primary; 62G09; secondary; 60G18; Time series; Subsampling; Block sampling; Sampling window; Self-normalization; Heavy tails; Long-range dependence; Long memory;
Keywords: 60G15; 60G18; 60G22Canonical Volterra representation; Equivalence in law; Gaussian processes; Lamperti transformation; Self-similar processes
Keywords: 60F17; 60G18; 60G17Continuous time random walk; Hermite process; Strictly stable process; Waiting time process; Self-similarity; Scaling limit
Keywords: 60F25; 60G18; Brownian triangulation; Self-similar fragmentation; Geodesic stable lamination;
Keywords: 60G18; 60F05; Long memory; Self-similar processes; Rosenblatt processes; Generalized Rosenblatt processes;
Keywords: 60G18; 60H15Fractional Brownian motion; Mild solutions; Impulses; Delays; Asymptotic behaviors
Keywords: 60G18; 60G52; 60G50Stable process; Self-similar process; Continuous additive functional; Local time; Random walk
Keywords: 60G18; 60F05Long memory; Discrete chaos; Wiener chaos; Limit theorem
The Hausdorff dimension of multivariate operator-self-similar Gaussian random fields
Keywords: primary; 60G60; secondary; 28A78; 28A80; 60G15; 60G17; 60G18; Fractional random fields; Gaussian random fields; Operator-self-similarity; Modulus of continuity; Hausdorff dimension;
Erratum to: least squares estimation for Ornstein-Uhlenbeck processes driven by the weighted fractional brownian motion (Acta Mathematica Scientia 2016,36B(2):394-408)
Keywords: weighted fractional Brownian motion; least squares estimator; Ornstein-Uhlenbeck process; 60G15; 60G18; 60H05;
An integral representation of dilatively stable processes with independent increments
Keywords: primary; 60G51; secondary; 60G18; 60H05; Dilative stability; Translative stability; Lamperti transform; Additive process; Random integral representation; Wide sense Ornstein-Uhlenbeck process; Quasi-selfsimilar process; Time-stable process; Infinite div
A growth model based on the arithmetic Z-game
Keywords: Absolute differences; Cellular automata; Growth model; Recurrent sequences; Self-similar processes; Dynamic lattice systems; Sandpiles; Ruler sequence; Gros sequence; Discrete solitons; Z-solitons; 37B15; 68Q80; 82C22; 82C20; 60G18;
Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
Keywords: 60F05; 60G18; 60G22Toeplitz type quadratic functional; Lévy process; Brownian motion; Central and non-central limit theorems; Long memory; Teugels martingale; Wiener–Itô integral
Joint aggregation of random-coefficient AR(1) processes with common innovations
Keywords: primary; 62M10; 60G22; secondary; 60G15; 60G18; 60H05; Aggregation; Random-coefficient AR(1) process; Intermediate scaling;
Neutral stochastic partial differential equations with delay driven by Rosenblatt process in a Hilbert space
Keywords: 60G18; 60H15; 60H20Stochastic partial differential equation; Rosenblatt process; Fixed point theorem; Mild solution
Hitting properties and non-uniqueness for SDEs driven by stable processes
Keywords: primary; 60J80; secondary; 60G18; Continuous state branching processes; Immigration; Self-similarity; Jump-diffusion;
On the 1H-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter H<12
Keywords: 60H05; 60H07; 60G18; Fractional Brownian motion; Malliavin calculus; Skorohod integral; Fractional Bessel processes;
Convergence of long-memory discrete kth order Volterra processes
Keywords: 60G18; 60F05; Long memory; Long-range dependence; Volterra process; Wiener chaos; Wiener; Stratonovich; Limit theorems;
On integral representations of operator fractional Brownian fields
Keywords: primary; 60G18; 60G15; Operator fractional Brownian fields; Operator scaling; Operator self-similarity; Harmonizable representations; Moving average representations; Anisotropy;
Coupling of Wiener processes by using copulas
Keywords: 62H05; 60G18; 60H10; 60E05; 60J60; Copula; Ito diffusion; Stochastic differential equation; Self-similar processes;
Multivariate limits of multilinear polynomial-form processes with long memory
Keywords: 60G18; 60F05Long memory; Multilinear polynomial-form process; Multivariate limit theorems; Asymptotic independence
Scaling limits of coupled continuous time random walks and residual order statistics through marked point processes
Keywords: primary; 60F17; 60G50; 60G55; secondary; 60G18; 62G30; Continuous time random walk; Operator stable law; Lévy process; Marked point process; Order statistics; Series representation;
Long memory effect of past climate change in Vostok ice core records
Keywords: 60G05; 60G18; 60J65Palaeoclimate; Proxy data; Time series analysis; Spectrum estimate; Detrended fluctuation analysis
A normal inverse Gaussian model for a risky asset with dependence
Keywords: 60G18; 60G10; 62M10Diffusion-type processes; Inverse Gaussian distribution; Normal inverse Gaussian distribution; Superpositions
Bounds on exponential moments of hitting times for reflected processes on the positive orthant
Keywords: primary; 60G22; secondary; 90B18; 60G15; 60G18; Reflected fractional Brownian motion; Reflected Lévy process; Heavy traffic theory; First hitting times; Exponential moments;
Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
Keywords: 60G18; 60F05; 60G51; Self-similar Markov processes; Lévy processes; Yaglom limits; Quasi-stationary distributions; Extreme value theory; Exponential functionals of Lévy processes;
Drift parameter estimation in fractional diffusions driven by perturbed random walks
Keywords: 60G18; 62M99Fractional Brownian motion; Maximum likelihood estimation; Random walk
On linear models with long memory and heavy-tailed errors
Keywords: 62J05; 60G18; 60G51Bahadur representation; Heavy tails; Long memory; MM-estimation
Multi-operator scaling random fields
Keywords: primary; 60G17; 60G60; 60G15; 60G52; secondary; 60F05; 60G22; 60G18; Gaussian and stable random fields; Local operator scaling property; Hölder regularity;
Fluctuations of the empirical quantiles of independent Brownian motions
Keywords: primary; 60F05; secondary; 60F17; 60G15; 60G17; 60G18; 60J65; Quantile process; Order statistics; Fluctuations weak convergence; Fractional Brownian motion; Quartic variation;
Wick integration with respect to fractional Brownian sheet
Keywords: primary; 60H07; secondary; 60G18; Fractional Brownian sheet; Itô formula; White noise theory; Wick integral;
Poisson point processes, excursions and stable processes in two-dimensional structures
Keywords: 60G55; 60G18; 60J55; 60J60; 60J65; 60J67Excursions; Poisson point processes; Brownian motion; Bessel processes; Schramm–Loewner evolutions; Conformal loop ensembles; Loop soups
A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering
Keywords: 05C05; 16W30; 60F05; 60G15; 60G18; 60H05Fractional Brownian motion; Stochastic integrals; Rough paths; Hopf algebra of decorated rooted trees
Branching on a Sierpinski graph
Keywords: 60G18; 60J80
Some recent advances in theory and simulation of fractional diffusion processes
Keywords: 26A33; 45K05; 47G30; 60G18; 60G50; 60G51; 60J60Parametric subordination; Random walks; Anomalous diffusion; Fractional calculus; Renewal theory; Power laws; Lévy processes
Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration
Keywords: 60E07; 60G18; 60G51; 33E12Lévy processes; Exponential functional; Self-similar processes; Continuous state branching processes with immigration; Wright hypergeometric functions
A continuous non-Brownian motion martingale with Brownian motion marginal distributions
Keywords: primary: 60G44; 60J65; secondary: 33-99; 35K57; 60E99; 60G18; 60J60Brownian motion; Diffusion process; Martingale; Martingale problem
Small deviations for stable processes via compactness properties of the parameter set
Keywords: 60G15; 60G18; 60G52; Gaussian processes; Linear fractional stable motion; Metric entropy; Self-similar processes; Small deviation; Stable processes;
A note on Itô formula for fractional Brownian sheet with Hurst parameters H1,H2â(0,1)
Keywords: primary; 60H07; secondary; 60G18; Fractional Brownian sheet; Itô formula; Fractional white noise;
Inner product spaces of integrands associated to subfractional Brownian motion
Keywords: 60H05; 60G18
A bivariate Lévy process with negative binomial and gamma marginals
Keywords: 60E05; 60E07; 60F05; 60G18; 60G50; 60G51; 62H05; 62H12Discrete Lévy process; Gamma process; Gamma Poisson process; Infinite divisibility; Maximum likelihood estimation; Negative binomial process; Operational time; Random summation; Random time transformat
Nonhomogeneous fractional integration and multifractional processes
Keywords: 60G12; 60G18; 60H05; 26A33; 33C65Liouville fractional operators; Long-range dependence; Multifractional Brownian motion; Nonhomogeneous fractional integration; Scaling limits
Estimation of the volatility persistence in a discretely observed diffusion model
Keywords: 60G18; 60G99; 60H05; 60H40; 60G15; 62F12; 62F99; 62M09; 62P05Stochastic volatility models; Discrete sampling; High frequency data; Fractional Brownian motion; Scaling exponent; Adaptive estimation of quadratic functionals; Wavelet methods