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Consider a queue with a stochastic fluid input process modeled as fractional Brownian motion (fBM). When the queue is stable, we prove that the maximum of the workload process observed over an interva...
The paper is concerned with the maximum likelihood estimator (MLE) of the unknown drift parameterθ∈Rin the continuous-time regression model Xt =θt+Bt +BHt,t ∈[0, T] whereBt is the Brownian motion and ...
In this paper we consider the Stochastic isothermal, nonlinear, incompressible bipolar viscous fluids driven by a genuine cylindrical fractional Bronwnian motion with Hurst parameter $H \in (1/4,1/2)$...
This paper proposes a new fBm (fractional Brownian motion) interpolation/reconstruction method from partially known samples based on CS (Compressive Sampling). Since 1/f property implies power law ...
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p...
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p...
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fra...
In this short note, we show how to use concentration inequalities in order to build exact confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion.
The purpose of this note is to improve this convergence to a functional central limit theorem,with respect to the uniform topology,and so complete the solution to a conjecture in the literature with...
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This leads naturally to: 1. A...
We give a new representation of fractional Brownian motion with Hurst parameter $Hleqfrac{1}{2}$ using stochastic partial differential equations. This representation allows us to use the Markov proper...
We define a Fractional Brownian Motion indexed by a sphere, or more generally by a compact rank one symmetric space, and prove that it exists if, and only if, 0< H leq 1/2. We then prove that Fraction...
We give a new representation of fractional Brownian motion with Hurst parameter $Hleqfrac{1}{2}$ using stochastic partial differential equations. This representation allows us to use the Markov proper...
In this paper we study three self-similar, long-range dependence, Gaussian processes. The first one, with covariance ∫0min(s,t) ua [(t-u)b+(s-u)b]du,parameters a > -1, -1 < b ≤ 1, |b| ≤ 1 + a, corresp...
In this paper we study three self-similar, long-range dependence, Gaussian processes. The first one, with covariance ∫0min(s,t) ua [(t-u)b+(s-u)b]du,parameters a > -1, -1 < b ≤ 1, |b| ≤ 1 + a, corresp...

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