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You searched for subject:(Multifractional Brownian motion). Showing records 1 – 6 of 6 total matches.

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1. Bågmark, Kasper. Approximation of non-stationary fractional Gaussian random fields .

Degree: Chalmers tekniska högskola / Institutionen för matematiska vetenskaper, 2020, Chalmers University of Technology

 Numerical approximations of fractional and multifractional Brownian fields are studied by measuring the numerical convergence order. In order to construct these nonstationary fields a study… (more)

Subjects/Keywords: Multifractional Brownian motion; non-stationary random fields; Cholesky method; numerical strong convergence rate

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APA (6th Edition):

Bågmark, K. (2020). Approximation of non-stationary fractional Gaussian random fields . (Thesis). Chalmers University of Technology. Retrieved from http://hdl.handle.net/20.500.12380/300940

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Bågmark, Kasper. “Approximation of non-stationary fractional Gaussian random fields .” 2020. Thesis, Chalmers University of Technology. Accessed January 23, 2021. http://hdl.handle.net/20.500.12380/300940.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Bågmark, Kasper. “Approximation of non-stationary fractional Gaussian random fields .” 2020. Web. 23 Jan 2021.

Vancouver:

Bågmark K. Approximation of non-stationary fractional Gaussian random fields . [Internet] [Thesis]. Chalmers University of Technology; 2020. [cited 2021 Jan 23]. Available from: http://hdl.handle.net/20.500.12380/300940.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Bågmark K. Approximation of non-stationary fractional Gaussian random fields . [Thesis]. Chalmers University of Technology; 2020. Available from: http://hdl.handle.net/20.500.12380/300940

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

2. Balança, Paul. Régularité fine de processus stochastiques et analyse 2-microlocale : Fine regularity of stochastic processes and 2-microlocal analysis.

Degree: Docteur es, Mathématiques, 2014, Châtenay-Malabry, Ecole centrale de Paris

Les travaux présentés dans cette thèse s'intéressent à la géométrie fractale de processus stochastiques à travers le prisme d'un outil appelé l'analyse 2-microlocale. Ce dernier… (more)

Subjects/Keywords: Analyse 2-microlocale; Régularité trajectorielle; Mouvement Brownien multifractionnaire; 2-microlocal analysis; Sample path regularity; Multifractional Brownian motion

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APA (6th Edition):

Balança, P. (2014). Régularité fine de processus stochastiques et analyse 2-microlocale : Fine regularity of stochastic processes and 2-microlocal analysis. (Doctoral Dissertation). Châtenay-Malabry, Ecole centrale de Paris. Retrieved from http://www.theses.fr/2014ECAP0014

Chicago Manual of Style (16th Edition):

Balança, Paul. “Régularité fine de processus stochastiques et analyse 2-microlocale : Fine regularity of stochastic processes and 2-microlocal analysis.” 2014. Doctoral Dissertation, Châtenay-Malabry, Ecole centrale de Paris. Accessed January 23, 2021. http://www.theses.fr/2014ECAP0014.

MLA Handbook (7th Edition):

Balança, Paul. “Régularité fine de processus stochastiques et analyse 2-microlocale : Fine regularity of stochastic processes and 2-microlocal analysis.” 2014. Web. 23 Jan 2021.

Vancouver:

Balança P. Régularité fine de processus stochastiques et analyse 2-microlocale : Fine regularity of stochastic processes and 2-microlocal analysis. [Internet] [Doctoral dissertation]. Châtenay-Malabry, Ecole centrale de Paris; 2014. [cited 2021 Jan 23]. Available from: http://www.theses.fr/2014ECAP0014.

Council of Science Editors:

Balança P. Régularité fine de processus stochastiques et analyse 2-microlocale : Fine regularity of stochastic processes and 2-microlocal analysis. [Doctoral Dissertation]. Châtenay-Malabry, Ecole centrale de Paris; 2014. Available from: http://www.theses.fr/2014ECAP0014

3. Fhima, Mehdi. Détection de ruptures et mouvement Brownien multifractionnaire : Change Point Detection and multifractional Brownian motion.

Degree: Docteur es, Mathématiques Appliquées, 2011, Université Blaise-Pascale, Clermont-Ferrand II

Dans cette thèse, nous développons une nouvelle méthode de détection de ruptures "Off-line", appelée Dérivée Filtrée avec p-value, sur des paramètres d'une suite de variables… (more)

Subjects/Keywords: Dérivée Filtrée avec p-value; Détection de ruptures "Off-line"; Mouvement Brownien multifractionnaire; Paramètre de Hurst; Increment Ratio Statistic; Increment Zero-Crossing Statistic; Filtered Derivative with p-Value; "Off-line" detection of change points; Multifractional Brownian motion; Hurst parameter; Increment Ratio Statistic; Increment Zero-Crossing Statistic

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APA (6th Edition):

Fhima, M. (2011). Détection de ruptures et mouvement Brownien multifractionnaire : Change Point Detection and multifractional Brownian motion. (Doctoral Dissertation). Université Blaise-Pascale, Clermont-Ferrand II. Retrieved from http://www.theses.fr/2011CLF22197

Chicago Manual of Style (16th Edition):

Fhima, Mehdi. “Détection de ruptures et mouvement Brownien multifractionnaire : Change Point Detection and multifractional Brownian motion.” 2011. Doctoral Dissertation, Université Blaise-Pascale, Clermont-Ferrand II. Accessed January 23, 2021. http://www.theses.fr/2011CLF22197.

MLA Handbook (7th Edition):

Fhima, Mehdi. “Détection de ruptures et mouvement Brownien multifractionnaire : Change Point Detection and multifractional Brownian motion.” 2011. Web. 23 Jan 2021.

Vancouver:

Fhima M. Détection de ruptures et mouvement Brownien multifractionnaire : Change Point Detection and multifractional Brownian motion. [Internet] [Doctoral dissertation]. Université Blaise-Pascale, Clermont-Ferrand II; 2011. [cited 2021 Jan 23]. Available from: http://www.theses.fr/2011CLF22197.

Council of Science Editors:

Fhima M. Détection de ruptures et mouvement Brownien multifractionnaire : Change Point Detection and multifractional Brownian motion. [Doctoral Dissertation]. Université Blaise-Pascale, Clermont-Ferrand II; 2011. Available from: http://www.theses.fr/2011CLF22197

4. Lebovits, Joachim. Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance : Calcul stochastique par rapport au mouvement brownien multifractionnaire et applications à la finance.

Degree: Docteur es, Mathématiques, 2012, Châtenay-Malabry, Ecole centrale de Paris; laboratoire probabilités et modèles aléatoires

Le premier chapitre de cette thèse introduit les différentes notions que nous utiliserons et présente les travaux qui constituent ce mémoire.Dans le deuxième chapitre de… (more)

Subjects/Keywords: Intégrale stochastique; Mouvement brownien multifractionnaire; Formule de Tanaka; Stochastic integral; Multifractional Brownian motion; Tanaka formula

Multifractional Brownian Motion and Applications to Finance tel-00704526, version 1 - 5 Jun 2012… …fonctionnelle. ix x Stochastic Calculus With Respect to Multifractional Brownian Motion and… …x29; with respect to multifractional Brownian motion (mBm). Since the choice of… …multifractional Brownian motion. We then show that mBm appears naturally as a limit of a sequence of… …nappe that we graphically represent. Keywords Multifractional Brownian motion, stochastic… 

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APA (6th Edition):

Lebovits, J. (2012). Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance : Calcul stochastique par rapport au mouvement brownien multifractionnaire et applications à la finance. (Doctoral Dissertation). Châtenay-Malabry, Ecole centrale de Paris; laboratoire probabilités et modèles aléatoires. Retrieved from http://www.theses.fr/2012ECAP0006

Chicago Manual of Style (16th Edition):

Lebovits, Joachim. “Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance : Calcul stochastique par rapport au mouvement brownien multifractionnaire et applications à la finance.” 2012. Doctoral Dissertation, Châtenay-Malabry, Ecole centrale de Paris; laboratoire probabilités et modèles aléatoires. Accessed January 23, 2021. http://www.theses.fr/2012ECAP0006.

MLA Handbook (7th Edition):

Lebovits, Joachim. “Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance : Calcul stochastique par rapport au mouvement brownien multifractionnaire et applications à la finance.” 2012. Web. 23 Jan 2021.

Vancouver:

Lebovits J. Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance : Calcul stochastique par rapport au mouvement brownien multifractionnaire et applications à la finance. [Internet] [Doctoral dissertation]. Châtenay-Malabry, Ecole centrale de Paris; laboratoire probabilités et modèles aléatoires; 2012. [cited 2021 Jan 23]. Available from: http://www.theses.fr/2012ECAP0006.

Council of Science Editors:

Lebovits J. Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance : Calcul stochastique par rapport au mouvement brownien multifractionnaire et applications à la finance. [Doctoral Dissertation]. Châtenay-Malabry, Ecole centrale de Paris; laboratoire probabilités et modèles aléatoires; 2012. Available from: http://www.theses.fr/2012ECAP0006

5. Lee, Kichun. Functional data mining with multiscale statistical procedures.

Degree: PhD, Industrial and Systems Engineering, 2010, Georgia Tech

 Hurst exponent and variance are two quantities that often characterize real-life, highfrequency observations. We develop the method for simultaneous estimation of a timechanging Hurst exponent… (more)

Subjects/Keywords: Multifractality; Wavelets; Hurst exponent; Fractional Brownian motion; Multifractional Brownian motion; Semi-supervised learning; Data mining; Correlation (Statistics); Wavelets (Mathematics); Supervised learning (Machine learning); Machine learning

…57 2.1 Local Variations of Multifractional Brownian Motion . . . . . . . . 57 2.2… …multifractional Brownian motion, mBm. Definition of multifractional Brownian motion can be given 13… …as with H replaced by H(t). Definition 1.1.4. Multifractional Brownian Motion is… …Simulated paths of fractional Brownian motion, (a) H = 1/4, (b) H = 1/2, and… …Processes Statistically self-similar processes (such as fractional Brownian motion) and… 

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APA (6th Edition):

Lee, K. (2010). Functional data mining with multiscale statistical procedures. (Doctoral Dissertation). Georgia Tech. Retrieved from http://hdl.handle.net/1853/34716

Chicago Manual of Style (16th Edition):

Lee, Kichun. “Functional data mining with multiscale statistical procedures.” 2010. Doctoral Dissertation, Georgia Tech. Accessed January 23, 2021. http://hdl.handle.net/1853/34716.

MLA Handbook (7th Edition):

Lee, Kichun. “Functional data mining with multiscale statistical procedures.” 2010. Web. 23 Jan 2021.

Vancouver:

Lee K. Functional data mining with multiscale statistical procedures. [Internet] [Doctoral dissertation]. Georgia Tech; 2010. [cited 2021 Jan 23]. Available from: http://hdl.handle.net/1853/34716.

Council of Science Editors:

Lee K. Functional data mining with multiscale statistical procedures. [Doctoral Dissertation]. Georgia Tech; 2010. Available from: http://hdl.handle.net/1853/34716

6. Shen, Jinqi. Local Structure of Random Fields - Properties and Inference.

Degree: PhD, Statistics, 2019, University of Michigan

 Advances in data collection and computation tools popularize localized modeling on temporal or spatial data. Similar to the connection between derivatives and smooth functions, one… (more)

Subjects/Keywords: Tangent Field; Spatial Statistics; Multifractional Brownian motion; Spectral measure; Functional data analysis; Hurst Index; Statistics and Numeric Data; Science

…fields with tangent fields is the multifractional Brownian motion which has been studied… …Hurst function of a multifractional Brownian motion when the process is observed on a regular… …fractional Brownian motion (fBm). It was first introduced by Kolmogorov (1940)… …Brownian motion is a special case of fBm with H = 0.5. It can be proved that BH is the only self… …Brownian motion (mBm), independently introduced in LévyVéhel and Peltier (1995… 

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APA (6th Edition):

Shen, J. (2019). Local Structure of Random Fields - Properties and Inference. (Doctoral Dissertation). University of Michigan. Retrieved from http://hdl.handle.net/2027.42/151592

Chicago Manual of Style (16th Edition):

Shen, Jinqi. “Local Structure of Random Fields - Properties and Inference.” 2019. Doctoral Dissertation, University of Michigan. Accessed January 23, 2021. http://hdl.handle.net/2027.42/151592.

MLA Handbook (7th Edition):

Shen, Jinqi. “Local Structure of Random Fields - Properties and Inference.” 2019. Web. 23 Jan 2021.

Vancouver:

Shen J. Local Structure of Random Fields - Properties and Inference. [Internet] [Doctoral dissertation]. University of Michigan; 2019. [cited 2021 Jan 23]. Available from: http://hdl.handle.net/2027.42/151592.

Council of Science Editors:

Shen J. Local Structure of Random Fields - Properties and Inference. [Doctoral Dissertation]. University of Michigan; 2019. Available from: http://hdl.handle.net/2027.42/151592

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