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

Mathematics ◽  
2019 ◽  
Vol 7 (10) ◽  
pp. 991 ◽  
Author(s):  
Mario Abundo ◽  
Enrica Pirozzi
Keyword(s):  
Brownian Motion ◽  
Markov Process ◽  
Gaussian Process ◽  
Fractional Brownian Motion ◽  
Gaussian Processes ◽  
Statistical Parameters ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Over Time

We investigate the main statistical parameters of the integral over time of the fractional Brownian motion and of a kind of pseudo-fractional Gaussian process, obtained as a classical Gauss–Markov process from Doob representation by replacing Brownian motion with fractional Brownian motion. Possible applications in the context of neuronal models are highlighted. A fractional Ornstein–Uhlenbeck process is considered and relations with the integral of the pseudo-fractional Gaussian process are provided.

scholarly journals On the Entropy of Fractionally Integrated Gauss–Markov Processes

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 2031
Author(s):  
Mario Abundo ◽  
Enrica Pirozzi
Keyword(s):  
Dynamical System ◽  
Stochastic Process ◽  
Brownian Motion ◽  
Markov Process ◽  
Markov Processes ◽  
Numerical Approximation ◽  
Uhlenbeck Process ◽  
Sample Paths ◽  
Ornstein Uhlenbeck Process ◽  
Application Fields

This paper is devoted to the estimation of the entropy of the dynamical system {Xα(t),t≥0}, where the stochastic process Xα(t) consists of the fractional Riemann–Liouville integral of order α∈(0,1) of a Gauss–Markov process. The study is based on a specific algorithm suitably devised in order to perform the simulation of sample paths of such processes and to evaluate the numerical approximation of the entropy. We focus on fractionally integrated Brownian motion and Ornstein–Uhlenbeck process due their main rule in the theory and application fields. Their entropy is specifically estimated by computing its approximation (ApEn). We investigate the relation between the value of α and the complexity degree; we show that the entropy of Xα(t) is a decreasing function of α∈(0,1).

Admission Control for Multidimensional Workload input with Heavy Tails and Fractional Ornstein-Uhlenbeck Process

2015 ◽  
Vol 47 (2) ◽  
pp. 476-505
Author(s):  
Amarjit Budhiraja ◽  
Vladas Pipiras ◽  
Xiaoming Song
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Stochastic Differential Equation ◽  
Fractional Brownian Motion ◽  
Admission Control ◽  
Control Policy ◽  
Uhlenbeck Process ◽  
Control Policies ◽  
Ornstein Uhlenbeck Process ◽  
Admission Control Policy

The infinite source Poisson arrival model with heavy-tailed workload distributions has attracted much attention, especially in the modeling of data packet traffic in communication networks. In particular, it is well known that under suitable assumptions on the source arrival rate, the centered and scaled cumulative workload input process for the underlying processing system can be approximated by fractional Brownian motion. In many applications one is interested in the stabilization of the work inflow to the system by modifying the net input rate, using an appropriate admission control policy. In this paper we study a natural family of admission control policies which keep the associated scaled cumulative workload input asymptotically close to a prespecified linear trajectory, uniformly over time. Under such admission control policies and with natural assumptions on arrival distributions, suitably scaled and centered cumulative workload input processes are shown to converge weakly in the path space to the solution of a d-dimensional stochastic differential equation driven by a Gaussian process. It is shown that the admission control policy achieves moment stabilization in that the second moment of the solution to the stochastic differential equation (averaged over the d-stations) is bounded uniformly for all times. In one special case of control policies, as time approaches ∞, we obtain a fractional version of a stationary Ornstein-Uhlenbeck process that is driven by fractional Brownian motion with Hurst parameter H > ½.

Admission Control for Multidimensional Workload input with Heavy Tails and Fractional Ornstein-Uhlenbeck Process

2015 ◽  
Vol 47 (02) ◽  
pp. 476-505
Author(s):  
Amarjit Budhiraja ◽  
Vladas Pipiras ◽  
Xiaoming Song
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Stochastic Differential Equation ◽  
Fractional Brownian Motion ◽  
Admission Control ◽  
Control Policy ◽  
Uhlenbeck Process ◽  
Control Policies ◽  
Ornstein Uhlenbeck Process ◽  
Admission Control Policy

The infinite source Poisson arrival model with heavy-tailed workload distributions has attracted much attention, especially in the modeling of data packet traffic in communication networks. In particular, it is well known that under suitable assumptions on the source arrival rate, the centered and scaled cumulative workload input process for the underlying processing system can be approximated by fractional Brownian motion. In many applications one is interested in the stabilization of the work inflow to the system by modifying the net input rate, using an appropriate admission control policy. In this paper we study a natural family of admission control policies which keep the associated scaled cumulative workload input asymptotically close to a prespecified linear trajectory, uniformly over time. Under such admission control policies and with natural assumptions on arrival distributions, suitably scaled and centered cumulative workload input processes are shown to converge weakly in the path space to the solution of a d-dimensional stochastic differential equation driven by a Gaussian process. It is shown that the admission control policy achieves moment stabilization in that the second moment of the solution to the stochastic differential equation (averaged over the d-stations) is bounded uniformly for all times. In one special case of control policies, as time approaches ∞, we obtain a fractional version of a stationary Ornstein-Uhlenbeck process that is driven by fractional Brownian motion with Hurst parameter H > ½.

Generalized fractional Lévy processes with fractional Brownian motion limit

2015 ◽  
Vol 47 (04) ◽  
pp. 1108-1131 ◽  
Author(s):  
Claudia Klüppelberg ◽  
Muneya Matsui
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Lévy Processes ◽  
Sample Path ◽  
Levy Processes ◽  
Order Structure ◽  
Uhlenbeck Process ◽  
Sample Paths ◽  
Volatility Models ◽  
Ornstein Uhlenbeck Process

Fractional Lévy processes generalize fractional Brownian motion in a natural way. We go a step further and extend the usual fractional Riemann-Liouville kernel to a regularly varying function. We call the resulting stochastic processes generalized fractional Lévy processes (GFLPs) and show that they may have short or long memory increments and that their sample paths may have jumps or not. Moreover, we define stochastic integrals with respect to a GFLP and investigate their second-order structure and sample path properties. A specific example is the Ornstein-Uhlenbeck process driven by a time-scaled GFLP. We prove a functional central limit theorem for such scaled processes with a fractional Ornstein-Uhlenbeck process as a limit process. This approximation applies to a wide class of stochastic volatility models, which include models where possibly neither the data nor the latent volatility process are semimartingales.

scholarly journals Maxima of stochastic processes driven by fractional Brownian motion

2005 ◽  
Vol 37 (03) ◽  
pp. 743-764 ◽  
Author(s):  
Boris Buchmann ◽  
Claudia Klüppelberg
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
State Space ◽  
Fractional Brownian Motion ◽  
Sufficient Conditions ◽  
Domain Of Attraction ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Maximum Domain Of Attraction

We study stationary processes given as solutions to stochastic differential equations driven by fractional Brownian motion. This rich class includes the fractional Ornstein-Uhlenbeck process and those processes that can be obtained from it by state space transformations. An explicit formula in terms of Euler's Γ-function describes the asymptotic behaviour of the covariance function of the fractional Ornstein-Uhlenbeck process near zero, which, by an application of Berman's condition, guarantees that this process is in the maximum domain of attraction of the Gumbel distribution. Necessary and sufficient conditions on the state space transforms are stated to classify the maximum domain of attraction of solutions to stochastic differential equations driven by fractional Brownian motion.

scholarly journals Maxima of stochastic processes driven by fractional Brownian motion

2005 ◽  
Vol 37 (3) ◽  
pp. 743-764 ◽  
Author(s):  
Boris Buchmann ◽  
Claudia Klüppelberg
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
State Space ◽  
Fractional Brownian Motion ◽  
Sufficient Conditions ◽  
Domain Of Attraction ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process ◽  
Maximum Domain Of Attraction

We study stationary processes given as solutions to stochastic differential equations driven by fractional Brownian motion. This rich class includes the fractional Ornstein-Uhlenbeck process and those processes that can be obtained from it by state space transformations. An explicit formula in terms of Euler's Γ-function describes the asymptotic behaviour of the covariance function of the fractional Ornstein-Uhlenbeck process near zero, which, by an application of Berman's condition, guarantees that this process is in the maximum domain of attraction of the Gumbel distribution. Necessary and sufficient conditions on the state space transforms are stated to classify the maximum domain of attraction of solutions to stochastic differential equations driven by fractional Brownian motion.

Sign in / Sign up

Export Citation Format

Share Document