fractional Brownian motions

Monday, March 14, 2016 - 11:30am - 12:00pm
Tyrone Duncan (University of Kansas)
Fractional Brownian motions (FBMs) denote a family of Gaussian processes indexed by the Hurst parameter H ∈ (0, 1) that can be empirically justified as models for noise in many physical systems. While this family includes Brownian motion (H = 1/2), the other Gaussian processes in this family are neither Markov nor semimartingales. Thus many of the traditional stochastic methods for the solution of control problems are not available.
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