Beyond multifractional Brownian motion: new stochastic models for geophysical modelling

被引:14
作者
Vehel, J. Levy [1 ,2 ]
机构
[1] Inria, Regular Team, Chatenay Malabry, France
[2] Ecole Cent Paris, MAS Lab, Chatenay Malabry, France
关键词
D O I
10.5194/npg-20-643-2013
中图分类号
P [天文学、地球科学];
学科分类号
07 ;
摘要
Multifractional Brownian motion (mBm) has proved to be a useful tool in various areas of geophysical modelling. Although a versatile model, mBm is of course not always an adequate one. We present in this work several other stochastic processes which could potentially be useful in geophysics. The first alternative type is that of self-regulating processes: these are models where the local regularity is a function of the amplitude, in contrast to mBm where it is tuned exogenously. We demonstrate the relevance of such models for digital elevation maps and for temperature records. We also briefly describe two other types of alternative processes, which are the counterparts of mBm and of self-regulating processes when the intensity of local jumps is considered in lieu of local regularity: multistable processes allow one to prescribe the local intensity of jumps in space/time, while this intensity is governed by the amplitude for self-stabilizing processes.
引用
收藏
页码:643 / 655
页数:13
相关论文
共 50 条
  • [31] How big are the increments of a multifractional Brownian motion?
    Lin, ZY
    SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY, 2002, 45 (10): : 1291 - 1300
  • [32] How big are the increments of a multifractional Brownian motion?
    Lin Zhengyan
    Science in China Series A: Mathematics, 2002, 45 (10): : 1291 - 1300
  • [33] MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
    Corlay, Sylvain
    Lebovits, Joachim
    Vehel, Jacques Levy
    MATHEMATICAL FINANCE, 2014, 24 (02) : 364 - 402
  • [34] ON THE POINTWISE REGULARITY OF THE MULTIFRACTIONAL BROWNIAN MOTION AND SOME EXTENSIONS
    Esser, C.
    Loosveldt, L.
    THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS, 2024, 110 : 55 - 73
  • [35] A weak limit theorem for generalized multifractional Brownian motion
    Dai, Hongshuai
    Li, Yuqiang
    STATISTICS & PROBABILITY LETTERS, 2010, 80 (5-6) : 348 - 356
  • [36] Simulating diffusion in crowded environments with multifractional Brownian motion
    Leier, A.
    Marquez-Lago, T. T.
    Burrage, K.
    FEBS JOURNAL, 2012, 279 : 524 - 524
  • [37] Wavelet-based synthesis of the multifractional brownian motion
    School of Electronics and Information Engineering, Beihang University, Beijing 100083, China
    不详
    Chin J Electron, 2008, 3 (537-540):
  • [38] Some sample path properties of multifractional Brownian motion
    Balanca, Paul
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2015, 125 (10) : 3823 - 3850
  • [39] Wavelet-based synthesis of the multifractional Brownian motion
    Wang Zhaorui
    Lue Shanwei
    Nakamura, Taketsune
    CHINESE JOURNAL OF ELECTRONICS, 2008, 17 (03): : 537 - 540
  • [40] Characterizing Detrended Fluctuation Analysis of multifractional Brownian motion
    Setty, V. A.
    Sharma, A. S.
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2015, 419 : 698 - 706