This paper presents a study of the Hurst index estimation in the case of fractional Ornstein–Uhlenbeck and geometric Brownian motion models. The performance of the estimators is ...
Abstract. Previous work [51] showed how to solve time-fractional diffusion equations by particle tracking. This paper extends the method to the case where the order of the fraction...
Abstract—We introduce an extended family of continuous-domain stochastic models for sparse, piecewise-smooth signals. These are specified as solutions of stochastic differential...