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You are here: Home :: Keyword index :: Int bis man :: logarithmic derivative - loutre long-range dependence

Items for "long-range dependence"

Strongly dependent Gaussian scenarios for the Burgers turbulence problem with quadratic external potential

We study the limiting distributions of a rescaling solution of the heat and Burgers equations, with quadratic external potential, in the case where the initial velocity potential is a strongly dependent Gaussian random field.

Keywords: long-range dependence, nonhomogeneous Burgers equation, quadratic potential, random initial conditions, scaling laws, spatiotemporal random fields

08/2006 | Random Operators and Stochastic Equations, Walter de Gruyter
Long-range dependence of time series for MSFT data of the prices of shares and returns

The problem of estimation of the Hurst parameter for self-similar time series is discussed in the paper...

Keywords: Hurst parameter, self-similar time series, FARIMA time series, long-range dependence, MSFT ticker

12/2006 | Random Operators and Stochastic Equations, Walter de Gruyter
A fractional stochastic evolution equation driven by fractional Brownian motion

This paper introduces a semilinear stochastic evolution equation which contains fractional powers of the infinitesimal generator of a strongly continuous semigroup and is driven by Hilbert space-valued fractional Brownian motion...

Keywords: Stochastic evolution equation, stochastic differential equation, long-range dependence

09/2003 | Monte Carlo Methods and Applications, Walter de Gruyter