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Optimal sequential change-detection for fractional stochastic differential equations
优化序贯Optimal sequential change-detection fractional stochastic differential equations
2011/3/18
The sequential detection of an abrupt and persistent change in the dynamics of an arbitrary continuous-path stochastic process is considered; the optimality of the cumulative sums (CUSUM) test is esta...
From constructive field theory to fractional stochastic calculus. (I) An introduction: rough path theory and perturbative heuristics
fractional Brownian motion stochastic integrals rough paths
2011/2/22
Let B = (B1(t), . . . ,Bd(t)) be a d-dimensional fractional Brownian motion with Hurst index ≤ 1/4, or more generally a Gaussian process whose paths have the same local regularity. Defining properly...
On a fractional stochastic Landau-Ginzburg equation
Landau-Ginzburg theory fractional Brownian motion
2010/9/20
The aim of this paper is to investigate a fractional stochastic LandauGinzburg equation for modelling superconductivity from an approximation approach by the fact that a fractional Brownian motion of ...