This paper presents a study of the Hurst index estimation in the case of fractional Ornstein–Uhlenbeck and geometric Brownian motion models. The performance of the estimators is ...
Based on recent work on Stochastic Partial Differential Equations (SPDEs), this paper presents a simple and well-founded method to implement the stochastic evolution of a curve. F...
In this paper, a new method is proposed in order to evaluate the stochastic solution of linear random differential equation. The method is based on the combination of the probabili...