Works matching Brownian motion

Results: 5000

Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion.

Published in:

Mathematics (2227-7390), 2021, v. 9, n. 22, p. 2983, doi. 10.3390/math9222983

By:

Brătian, Vasile;
Acu, Ana-Maria;
Oprean-Stan, Camelia;
Dinga, Emil;
Ionescu, Gabriela-Mariana

Publication type:

Article

Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion.

Published in:

Journal of Inequalities & Applications, 2018, v. 2018, n. 1, p. 1, doi. 10.1186/s13660-018-1793-9

By:

Zhang, Xinwen;
Ruan, Dehao

Publication type:

Article

Deterministic Brownian-like Motion: Electronic Approach.

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Electronics (2079-9292), 2022, v. 11, n. 18, p. N.PAG, doi. 10.3390/electronics11182949

By:

Echenausía-Monroy, José Luis;
Campos, Eric;
Jaimes-Reátegui, Rider;
García-López, Juan Hugo;
Huerta-Cuellar, Guillermo

Publication type:

Article

Mortal Brownian motion: Three short stories.

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International Journal of Modern Physics B: Condensed Matter Physics; Statistical Physics; Applied Physics, 2019, v. 33, n. 16, p. N.PAG, doi. 10.1142/S0217979219501728

By:

Meerson, Baruch

Publication type:

Article

Besicovitch almost automorphic solutions in finite‐dimensional distributions to stochastic semilinear differential equations driven by both Brownian and fractional Brownian motions.

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Mathematical Methods in the Applied Sciences, 2025, v. 48, n. 2, p. 1685, doi. 10.1002/mma.10403

By:

Li, Yongkun;
Bai, Zhicong

Publication type:

Article

Walsh's Brownian Motion and Donsker Scaling Limits of Perturbed Random Walks.

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ALEA. Latin American Journal of Probability & Mathematical Statistics, 2024, v. 21, n. 2, p. 1669, doi. 10.30757/ALEA.v21-63

By:

Pavlyukevich, Ilya;
Pilipenko, Andrey

Publication type:

Article

Approximation of skew Brownian motion by snapping‐out Brownian motions.

Published in:

Mathematische Nachrichten, 2025, v. 298, n. 3, p. 829, doi. 10.1002/mana.202400179

By:

Bobrowski, Adam;
Ratajczyk, Elżbieta

Publication type:

Article

ON BOUNCING GEOMETRIC BROWNIAN MOTIONS.

Published in:

Probability in the Engineering & Informational Sciences, 2019, v. 33, n. 4, p. 591, doi. 10.1017/S0269964818000463

By:

Liu, Xin;
Kulkarni, Vidyadhar G.;
Gong, Qi

Publication type:

Article

Schur–Weyl duality and the product of randomly-rotated symmetries by a unitary Brownian motion.

Published in:

Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2021, v. 24, n. 1, p. N.PAG, doi. 10.1142/S0219025721500028

By:

Demni, Nizar;
Hamdi, Tarek

Publication type:

Article

Stepanov-like doubly weighted pseudo almost automorphic processes and its application to Sobolev-type stochastic differential equations driven by G-Brownian motion.

Published in:

Mathematical Methods in the Applied Sciences, 2017, v. 40, n. 18, p. 6602, doi. 10.1002/mma.4477

By:

Yang, Qigui;
Zhu, Ping

Publication type:

Article

Oscillatory Fractional Brownian Motion.

Published in:

Acta Applicandae Mathematicae, 2013, v. 127, n. 1, p. 193, doi. 10.1007/s10440-013-9798-3

By:

Bojdecki, T.;
Gorostiza, L. G.;
Talarczyk, A.

Publication type:

Article

STOCHASTIC HOMEOMORPHISM FLOW OF SDES INVOLVING FRACTIONAL BROWNIAN MOTION AND STANDARD BROWNIAN MOTION.

Published in:

New Zealand Journal of Mathematics, 2012, v. 42, p. 57

By:

GUENDOUZI, TOUFIK

Publication type:

Article

Stochastic differential equations for sticky Brownian motion.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2014, v. 86, n. 6, p. 993, doi. 10.1080/17442508.2014.899600

By:

Engelbert, Hans-Jürgen;
Peskir, Goran

Publication type:

Article

Some properties of the sub-fractional Brownian motion.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2007, v. 79, n. 5, p. 431, doi. 10.1080/17442500601100331

By:

Tudor, Constantin

Publication type:

Article

α-time fractional Brownian motion: PDE connections and local times.

Published in:

ESAIM: Probability & Statistics, 2012, v. 16, p. 1, doi. 10.1051/ps/2011103

By:

Nane, Erkan;
Wu, Dongsheng;
Xiao, Yimin

Publication type:

Article

Density of paths of iterated Lévy transforms of Brownian motion.

Published in:

ESAIM: Probability & Statistics, 2012, v. 16, p. 399, doi. 10.1051/ps/2011020

By:

Malric, Marc

Publication type:

Article

Nonclassical point of view of the Brownian motion generation via fractional deterministic model.

Published in:

International Journal of Modern Physics C: Computational Physics & Physical Computation, 2018, v. 29, n. 3, p. -1, doi. 10.1142/S0129183118500201

By:

Gilardi-Velázquez, H. E.;
Campos-Cantón, E.

Publication type:

Article

On limit theorems of some extensions of fractional Brownian motion and their additive functionals.

Published in:

Stochastics & Dynamics, 2017, v. 17, n. 3, p. -1, doi. 10.1142/S0219493717500228

By:

Ouahra, M. Ait;
Moussaten, S.;
Sghir, A.

Publication type:

Article

Correlation Structure of Time-Changed Generalized Mixed Fractional Brownian Motion.

Published in:

Fractal & Fractional, 2023, v. 7, n. 8, p. 591, doi. 10.3390/fractalfract7080591

By:

Mliki, Ezzedine

Publication type:

Article

Estimating Conditional Power for Sequential Monitoring of Covariate Adaptive Randomized Designs: The Fractional Brownian Motion Approach.

Published in:

Fractal & Fractional, 2021, v. 5, n. 3, p. 1, doi. 10.3390/fractalfract5030114

By:

Yiping Yang;
Hongjian Zhu;
Dejian Lai

Publication type:

Article

System of Complex Brownian Motions Associated with the O'Connell Process.

Published in:

Journal of Statistical Physics, 2012, v. 149, n. 3, p. 411, doi. 10.1007/s10955-012-0602-y

By:

Katori, Makoto

Publication type:

Article

Weyl almost periodic solutions in distribution to a mean-field stochastic differential equation driven by fractional Brownian motion.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2024, v. 96, n. 7, p. 1893, doi. 10.1080/17442508.2024.2365215

By:

Li, Yongkun;
Li, Bing

Publication type:

Article

Continuity in law of some additive functionals of bifractional Brownian motion.

Published in:

Stochastics: An International Journal of Probability & Stochastic Processes, 2019, v. 91, n. 4, p. 613, doi. 10.1080/17442508.2019.1568436

By:

Ait Ouahra, M.;
Ouahhabi, H.;
Sghir, A.

Publication type:

Article

EXISTENCE AND UNIQUENESS OF MILD SOLUTIONS TO NEUTRAL IMPULSIVE FRACTIONAL STOCHASTIC DELAY DIFFERENTIAL EQUATIONS DRIVEN BY BOTH BROWNIAN MOTION AND FRACTIONAL BROWNIAN MOTION .

Published in:

Differential Equations & Applications, 2022, v. 14, n. 3, p. 433, doi. 10.7153/dea-2022-14-30

By:

SAYED AHMED, A. M.

Publication type:

Article

The modulus of non-differentiability of a Brownian motion in l<sub>p</sub>.

Published in:

Acta Mathematica Hungarica, 2004, v. 105, n. 3, p. 175, doi. 10.1023/B:AMHU.0000049285.41031.1d

By:

Lin, Zhengyan;
Wang., Wensheng

Publication type:

Article

Maximum Principle for General Controlled Systems Driven by Fractional Brownian Motions.

Published in:

Applied Mathematics & Optimization, 2013, v. 67, n. 2, p. 279, doi. 10.1007/s00245-012-9188-7

By:

Han, Yuecai;
Hu, Yaozhong;
Song, Jian

Publication type:

Article

On the impact of noise on quenching for a nonlocal diffusion model driven by a mixture of Brownian and fractional Brownian motions.

Published in:

Discrete & Continuous Dynamical Systems - Series S, 2024, v. 17, n. 3, p. 1, doi. 10.3934/dcdss.2023192

By:

Kavallaris, Nikos I.;
Nikolopoulos, Christos V.;
Yannacopoulos, Athanasios N.

Publication type:

Article

On drift parameter estimation in models with fractional Brownian motion.

Published in:

Statistics, 2015, v. 49, n. 1, p. 35, doi. 10.1080/02331888.2014.907294

By:

Kozachenko, Y.;
Melnikov, A.;
Mishura, Y.

Publication type:

Article

Ruin probability in a two-dimensional model with correlated Brownian motions.

Published in:

Scandinavian Actuarial Journal, 2021, v. 2021, n. 5, p. 362, doi. 10.1080/03461238.2020.1845788

By:

Grandits, Peter;
Klein, Maike

Publication type:

Article

TAIL PROBABILITY OF THE HITTING TIME OF BROWNIAN MOTION TO A SPHERE WITH FIXED HITTING SITES.

Published in:

Opuscula Mathematica, 2025, v. 45, n. 4, p. 471, doi. 10.7494/OpMath.2025.45.4.471

By:

Yuji Hamana

Publication type:

Article

Magnetohydrodynamic Non‐Newtonian Fluid Flow, Heat and Mass Transfer in a Porous Channel With Stretching Walls Under the Influence of Thermophoresis, Brownian Motion, and Radiation.

Published in:

Heat Transfer, 2025, v. 54, n. 4, p. 2837, doi. 10.1002/htj.23321

By:

M. N., Pooja;
S. K., Narasimhamurthy;
Vajravelu, Kuppalapalle

Publication type:

Article

Increasing domain infill asymptotics for stochastic differential equations driven by fractional Brownian motion.

Published in:

Statistics, 2025, v. 59, n. 4, p. 989, doi. 10.1080/02331888.2025.2477199

By:

Maitra, Trisha;
Bhattacharya, Sourabh

Publication type:

Article

Hitting Time Problems of Sticky Brownian Motion and Their Applications in Optimal Stopping and Bond Pricing.

Published in:

Methodology & Computing in Applied Probability, 2022, v. 24, n. 2, p. 1237, doi. 10.1007/s11009-021-09923-0

By:

Zhang, Haoyan;
Tian, Yingxu

Publication type:

Article

A Note on Erdös and Kac's Identity: Boundary Crossing Probabilities of Brownian Motion Over Constant Boundaries: A Finite Markov Chain Imbedding Approach.

Published in:

Methodology & Computing in Applied Probability, 2020, v. 22, n. 1, p. 161, doi. 10.1007/s11009-018-9686-4

By:

Wu, Tung-Lung

Publication type:

Article

First Hitting Time Distributions for Brownian Motion and Regions with Piecewise Linear Boundaries.

Published in:

Methodology & Computing in Applied Probability, 2019, v. 21, n. 1, p. 1, doi. 10.1007/s11009-018-9638-z

By:

Dong, Qinglai;
Cui, Lirong

Publication type:

Article

Convergence of skew Brownian motions with local times at several points that are contracted into a single one.

Published in:

Journal of Mathematical Sciences, 2017, v. 221, n. 5, p. 671, doi. 10.1007/s10958-017-3258-y

By:

Krykun, Ivan

Publication type:

Article

The Morphing of Fluid Queues into Markov-Modulated Brownian Motion.

Published in:

Stochastic Systems, 2015, v. 5, n. 1, p. 62, doi. 10.1287/13-SSY133

By:

Latouche, Guy;
Nguyen, Giang T.

Publication type:

Article

Chaotic Model of Brownian Motion in Relation to Drug Delivery Systems Using Ferromagnetic Particles.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 24, p. 4791, doi. 10.3390/math10244791

By:

Nježić, Saša;
Radulović, Jasna;
Živić, Fatima;
Mirić, Ana;
Jovanović Pešić, Živana;
Vasković Jovanović, Mina;
Grujović, Nenad

Publication type:

Article

Adopting Feynman–Kac Formula in Stochastic Differential Equations with (Sub-)Fractional Brownian Motion.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 3, p. 340, doi. 10.3390/math10030340

By:

Herzog, Bodo

Publication type:

Article

Geometric Brownian Motion (GBM) of Stock Indexes and Financial Market Uncertainty in the Context of Non-Crisis and Financial Crisis Scenarios.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 3, p. 309, doi. 10.3390/math10030309

By:

Brătian, Vasile;
Acu, Ana-Maria;
Mihaiu, Diana Marieta;
Șerban, Radu-Alexandru

Publication type:

Article

On the Integral of the Fractional Brownian Motion and Some Pseudo-Fractional Gaussian Processes.

Published in:

Mathematics (2227-7390), 2019, v. 7, n. 10, p. 991, doi. 10.3390/math7100991

By:

Abundo, Mario;
Pirozzi, Enrica

Publication type:

Article

THE EXIT PROBABILITIES OF BROWNIAN MOTION WITH VARIABLE DIMENSION APPLYING TO THE CONTROL OF POPULATION GROWTH.

Published in:

International Journal of Biomathematics, 2013, v. 6, n. 5, p. -1, doi. 10.1142/S1793524513500277

By:

SONG, LIXIN;
CHE, WENBIN;
LU, DAWEI

Publication type:

Article

Brownian motion and fractal nature.

Published in:

Modern Physics Letters B, 2020, v. 34, n. 19/20, p. N.PAG, doi. 10.1142/S0217984920400618

By:

Mitic, Vojislav;
Lazovic, Goran;
Milosevic, Dusan;
Lu, Chun-An;
Manojlovic, Jelena;
Tsay, Shwu-Chen;
Kruchinin, Sergey;
Vlahovic, Branislav

Publication type:

Article

The fractal interpolation applied on brownian motion particles trajectories reconstruction.

Published in:

International Journal of Modern Physics B: Condensed Matter Physics; Statistical Physics; Applied Physics, 2022, v. 36, n. 4, p. 1, doi. 10.1142/S0217979222500357

By:

Mitic, Vojislav V.;
Milosevic, Dusan;
Randjelovic, Branislav;
Milosevic, Mimica;
Markovic, Bojana;
Fecht, Hans;
Vlahovic, Branislav

Publication type:

Article

Discrete mean square approximation applied to error calculation in biomolecules and brownian motion.

Published in:

International Journal of Modern Physics B: Condensed Matter Physics; Statistical Physics; Applied Physics, 2021, v. 35, n. 31, p. 1, doi. 10.1142/S0217979221503136

By:

Randjelovic, Branislav;
Markovic, Bojana;
Mitic, Vojislav V.;
Aleksic, Sanja;
Milosevic, Dusan;
Vlahovic, Branislav;
Tsay, Shwu-Chen

Publication type:

Article

Simulating variable‐order fractional Brownian motion and solving nonlinear stochastic differential equations.

Published in:

Mathematical Methods in the Applied Sciences, 2024, v. 47, n. 11, p. 8471, doi. 10.1002/mma.10026

By:

Samadyar, Nasrin;
Ordokhani, Yadollah

Publication type:

Article

Extremal process for irreducible multi-type branching Brownian motion.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2024, v. 21, n. 2, p. 1417, doi. 10.30757/ALEA.v21-54

By:

Haojie Hou;
Yan-Xia Ren;
Renming Song

Publication type:

Article

Planar Brownian motion winds evenly along its trajectory.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2023, v. 20, n. 2, p. 1359, doi. 10.30757/ALEA.v20-50

By:

Sauzedde, Isao

Publication type:

Article

Particle configurations for branching Brownian motion with an inhomogeneous branching rate.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2023, v. 20, n. 1, p. 731, doi. 10.30757/ALEA.v20-28

By:

Jiaqi Liu;
Schweinsberg, Jason

Publication type:

Article

Branching Brownian motion conditioned on small maximum.

Published in:

ALEA. Latin American Journal of Probability & Mathematical Statistics, 2023, v. 20, n. 2, p. 905, doi. 10.30757/ALEA.v20-33

By:

Xinxin Chen;
Hui He;
Mallein, Bastien

Publication type:

Article