Working paper

Fractional Brownian Motion In A Nutshell

Year:

2014

Published in:

arxiv

Authors:

Fractional Brownian motion (fBm)

Hurst parameter

Self-similarity

Stationarity of increments

Simulation algorithm

This is an extended version of the lecture notes to a mini-course devoted to fractional Brownian motion and delivered to the participants of 7th Jagna International Workshop.

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Other publications by

80 publications found

2017

Journal article

Wave Equation With A Coloured Stable Noise

Publisher: Random Operators and Stochastic Equations

Authors: Georgiy Shevchenko, Larysa Pryhara

2011

Journal article

Anatolii Volodymyrovych Skorokhod (1930–2011)

Publisher: Stochastic Processes and their Applications

Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Yuriy Kozachenko, Yulia Mishura, Halyna Syta

2015

Journal article

Integral Representation With Respect To Fractional Brownian Motion Under A Log‑Hölder Assumption

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Taras Shalaiko

2006

Journal article

On Reselling Of European Option

Publisher: Theory of Stochastic Processes

Authors: Georgiy Shevchenko, Yulia Mishura, A. Kukush

2011

Working paper

Fractional And Multifractional Models In Finance

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko

2015

Journal article

Convergence Of Solutions Of Mixed Stochastic Delay Differential Equations With Applications

Publisher: Applied Mathematics and Computation

Authors: Georgiy Shevchenko, Yulia Mishura, Taras Shalaiko

2013

Journal article

Approximation Of Random Variables By Functionals Of The Increments Of A Fractional Brownian Motion

Publisher: Theory of Probability and Mathematical Statistics

Authors: Georgiy Shevchenko, Taras Shalaiko

2016

Journal article

Approximations For A Solution To Stochastic Heat Equation With Stable Noise

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Larysa Pryhara

2017

Journal article

Хвильове Рівняння Зі Стійким Шумом

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko, Larysa Pryhara

2025

Journal article

Stochastic Selection Problem For A Stratonovich Sde With Power Non‑Linearity

Publisher: Bernoulli

Authors: Georgiy Shevchenko, Ilya Pavlyukevich