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» Random-order fractional differential equation models
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SIGPRO
2011
220views Hardware» more  SIGPRO 2011»
13 years 7 days ago
Random-order fractional differential equation models
Hongguang Sun, Yangquan Chen, Wen Chen
INFORMATICALT
2011
147views more  INFORMATICALT 2011»
13 years 7 days ago
On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractiona
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 ...
Kestutis Kubilius, Dmitrij Melichov
CMA
2010
134views more  CMA 2010»
13 years 2 months ago
Particle tracking for fractional diffusion with two time scales
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...
Mark M. Meerschaert, Yong Zhang, Boris Baeumer
TSP
2011
151views more  TSP 2011»
13 years 6 days ago
Stochastic Models for Sparse and Piecewise-Smooth Signals
Abstract—We introduce an extended family of continuous-domain stochastic models for sparse, piecewise-smooth signals. These are specified as solutions of stochastic differential...
Michael Unser, Pouya Dehghani Tafti