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Dynamics of Pinus wood prices for different timber assortments: comparison of stochastic processes
(Cirad-centre Cooperation Int Recherche Agronomique Pour, 2022-01-01)
Understanding the dynamics of market prices for Pinus wood is a prerequisite for strategic decisions concerning forest investment plans since, in terms of the market, the exogenous risk to a project depends on timber ...
FRACTIONAL TERM STRUCTURE MODELS: NO-ARBITRAGE AND CONSISTENCY
(Inst Mathematical StatisticsClevelandEUA, 2009)
Wavelet entropy and fractional Brownian motion time series
(Elsevier, 2006-06-15)
We study the functional link between the Hurst parameter and the normalized total wavelet entropy when analyzing fractional Brownian motion (fBm) time series—these series are synthetically generated. Both quantifiers are ...
Ergodic theory for sdes with extrinsic memory
(Inst Mathematical StatisticsBeachwoodEUA, 2007)
The thermohydrodynamical picture of Brownian motion via a generalized Smoluchowsky equation
(Elsevier B.V., 2000-08-01)
Via an operator continued fraction scheme, we expand Kramers equation in the high friction limit. Then all distribution moments are expressed in terms of the first momemt (particle density). The latter satisfies a generalized ...
The thermohydrodynamical picture of Brownian motion via a generalized Smoluchowsky equation
(Elsevier B.V., 2000-08-01)
Via an operator continued fraction scheme, we expand Kramers equation in the high friction limit. Then all distribution moments are expressed in terms of the first momemt (particle density). The latter satisfies a generalized ...
The Lévy fractional Brownian motion family as a new paradigm in the modeling of turbulent wave-front phase
(Society of Photo-Optical Instrumentation Engineers, 2007-09-25)
In Perez et al. [J. Opt. Soc. Am. A 21 (10), 2004] we have given a general formalism to model the turbulent wave-front phase by using fractional Brownian motion processes. Moreover, it extends classical results to non- ...
Permutation entropy of fractional brownian motion and fractional gaussian noise
(ELSEVIER SCIENCE B.V., 2008)