Nonstationary self‐similar Gaussian processes as scaling limits of power‐law shot noise processes and generalizations of fractional Brownian motion
Author:
Affiliation:
1. The Harold and Inge Marcus Department of Industrial and Manufacturing Engineering Pennsylvania State University University Park Pennsylvania
2. Department of Mathematics and Statistics Boston University Boston Massachusetts
Funder
National Science Foundation
Army Research Office
Publisher
Wiley
Subject
General Medicine
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/hf2.10028
Reference59 articles.
1. On Patient Flow in Hospitals: A Data-Based Queueing-Science Perspective
2. On Scaling Limits of Power Law Shot-Noise Fields
3. Brownian semistationary processes and volatility/intermittency;Barndorff‐Nielsen O. E.;Radon Series on Computational and Applied Mathematics,2009
4. Pricing under rough volatility
5. Convergence of Probability Measures
Cited by 15 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Sample path moderate deviations for shot noise processes in the high intensity regime;Stochastic Processes and their Applications;2024-10
2. Pricing vanilla, barrier, and lookback options under two-scale stochastic volatility driven by two approximate fractional Brownian motions;AIMS Mathematics;2024
3. Large deviations and long-time behavior of stochastic fluid queues with generalized fractional Brownian motion input;Queueing Systems;2023-09-13
4. Parameter estimation for nth-order mixed fractional Brownian motion with polynomial drift;Journal of the Korean Statistical Society;2023-03-14
5. Lower functions and Chung's LILs of the generalized fractional Brownian motion;Journal of Mathematical Analysis and Applications;2022-10
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3