Approximations for reflected fractional Brownian motion

被引：6
|
作者：
Malsagov, Artagan [1 ]
Mandjes, Michel [1 ]
机构：
[1] Univ Amsterdam, Korteweg De Vries Inst Math, Sci Pk 105, NL-1098 XH Amsterdam, Netherlands
来源：
PHYSICAL REVIEW E | 2019年 / 100卷 / 03期
关键词：
ANOMALOUS DIFFUSION;
D O I：
10.1103/PhysRevE.100.032120
中图分类号：
O35 [流体力学]; O53 [等离子体物理学];
学科分类号：
070204 ; 080103 ; 080704 ;
摘要：
Fractional Brownian motion is a widely used stochastic process that is particularly suited to model anomalous diffusion. We focus on capturing the mean and variance of fractional Brownian motion reflected at level 0. As explicit expressions or numerical techniques are not available, we base our analysis on Monte Carlo simulation. Our main findings concern closed-form approximations of the mean and variance, with a near-perfect fit.
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页数：7
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