搜索结果: 1-13 共查到“理学 fractional brownian motion”相关记录13条 . 查询时间(0.083 秒)
Homogenization driven by a fractional Brownian motion:the shear layer case
Homogenization driven fractional Brownian motion shear layer case
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2015/7/14
We consider a passive scalar in a periodic shear flow perturbed by an additive fractional noise with the Hurst exponent H ∈ (0, 1). We establish a diffusive homogenization limit for the tracer when th...
Derivative Formula, Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motion
Derivative formula integration by parts formula Harnack inequality stochastic differential equation fractional Brownian motion
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2012/6/21
In the paper, the Bismut derivative formula is established for multidimensional SDEs driven by additive fractional noise ($1/2 and moreover the Harnack inequality is given. Through a Lamperti t...
First Passage Times for a Tracer Particle in Single File Diffusion and Fractional Brownian Motion
First Passage Times Tracer Particle Single File Diffusion Fractional Brownian Motion Biological Physics
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2012/5/29
We investigate the full functional form of the first passage time density (FPTD) of a tracer particle in a single-file diffusion (SFD) system whose population is: (i) homogeneous, i.e., all particles ...
Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion with Hurst parameter H $>$ 1/2
stochastic differential equations normal reflection fractional Brownian motion Young integral
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2011/9/22
Abstract: In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. We first study an ordinary ...
A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter >1/2
Linear stochastic differential equation Fractional Brownian motion Stochastic calculus Ito formula
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2011/9/15
Abstract: Given a fractional Brownian motion \,\,$(B_{t}^{H})_{t\geq 0}$,\, with Hurst parameter \,$> 1/2$\,\,we study the properties of all solutions of \,\,: {equation} X_{t}=B_{t}^{H}+\int_0^t X_{u...
Dynamics of stochastic non-Newtonian fluids driven by fractional Brownian motion with Hurst parameter $H \in (1/4,1/2)$
fractional Brownian motion stochastic non-Newtonian fluid random attractor
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2011/9/6
Abstract: In this paper we consider the Stochastic isothermal, nonlinear, incompressible bipolar viscous fluids driven by a genuine cylindrical fractional Bronwnian motion with Hurst parameter $H \in ...
Self-repelling fractional Brownian motion - a generalized Edwards model for chain polymers
Self-repelling fractional Brownian motion Edwards model chain polymers
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2011/7/26
Abstract: We present an extension of the Edwards model for conformations of individual chain molecules in solvents in terms of fractional Brownian motion, and discuss the excluded volume effect on the...
Perturbation Theory for Fractional Brownian Motion in Presence of Absorbing Boundaries
Perturbation Theory Presence of Absorbing Boundaries
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2010/11/25
Fractional Brownian motion is a Gaussian process x(t) with zero mean and two-time correlations
hx(t1)x(t2)i = Dt2H 1 + t2H 2 jt1 t2j2H, where H, with 0 < H < 1 is called the Hu...
The Nyström method for functional quantization with an application to the fractional Brownian motion
integral equation Nyströ m method Gaussian semi-martingale functional quantization
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2010/12/1
In this article, the so-called "Nyström method" is tested to compute optimal quantizers of Gaussian processes. In particular, we derive the optimal quantization of the fractional Brownian motion ...
Further remarks on mixed fractional Brownian motion
Fractional Brownian Motion Fractional Calculus
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2010/9/15
We study linear combinations of independent fractional Brownian motions and generalize several recent results from [10] and [17]. As a first new result we calculate explicitly the Hausdorff dimension ...
On the fractional mixed fractional Brownian motion
Fractional mixed fractional Brownian motion α-differentiability
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2010/9/13
In this paper, we present some stochastic properties and characteristics of the fractional mixed fractional Brownian motion, and we study the α-differentiability of its sample paths.
Evidence of fractional-Brownian-motion-type asperity model for earthquake generation in candidate pre-seismic electromagnetic emissions
fractional-Brownian-motion-type asperity model earthquake generation candidate pre-seismic electromagnetic emissions
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2009/12/30
Many aspects of earthquake generation still escape our full understanding. Observations of electromagnetic emissions preceding significant earthquakes provide one of the few cases of premonitory event...
Dimensional Properties of Fractional Brownian Motion
fractional Brownian motion Hausdorff dimension uniform dimension results strong local nondeterminism
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2007/12/11
Let $B^\a = \{B^{\alpha}(t), t \in {\mathbb R}^N\}$ be an $(N,d)$-fractional Brownian motion with Hurst index ${\alpha} \in (0,1)$. By applying the strong local nondeterminism of $B^{\alpha}$, we prov...