Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion.
A. Shahnazi-PourBehrouz Parsa MoghaddamAfshin BabaeiPublished in: J. Comput. Appl. Math. (2021)
Keyphrases
- numerical simulations
- dynamical systems
- fractional brownian motion
- stochastic differential equations
- long range
- non stationary
- differential equations
- brownian motion
- theoretical analysis
- fractal dimension
- random fields
- linear systems
- predictive state representations
- nonlinear dynamical systems
- state space
- long range dependence
- financial markets
- lattice boltzmann
- initial conditions
- conditional random fields
- image processing
- stochastic processes
- optimal solution
- temperature field
- reinforcement learning