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Entropy flow and De Bruijn's identity for a class of stochastic differential equations driven by fractional Brownian motion.
Michael C. H. Choi
Chihoon Lee
Jian Song
Published in:
CoRR (2019)
Keyphrases
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stochastic differential equations
fractional brownian motion
long range
non stationary
maximum a posteriori estimation
brownian motion
fractal dimension
financial markets
long range dependence
conditional random fields
mathematical model
differential equations
anisotropic diffusion