14 citations · 17 across the 6 of their papers we have counts for
6 papers
Machine learning models for predicting catastrophe bond coupons using climate data
Julia Kończal, Michał Balcerek, Krzysztof Burnecki
In recent years, the growing frequency and severity of natural disasters have increased the need for effective tools to manage catastrophe risk. Catastrophe (CAT) bonds allow the t…
Two-dimensional fractional Brownian motion: Analysis in time and frequency domains
Michał Balcerek, Adrian Pacheco-Pozo, Agnieszka Wyłomańska +2
This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature…
Multifractional Brownian motion with telegraphic, stochastically varying exponent
Michał Balcerek, Samudrajit Thapa, Krzysztof Burnecki +4
The diversity of diffusive systems exhibiting long-range correlations characterized by a stochastically varying Hurst exponent calls for a generic multifractional model. We present…
Testing of tempered fractional Brownian motions
Katarzyna Macioszek, Farzad Sabzikar, Krzysztof Burnecki
We propose here a testing methodology based on the autocovariance, detrended moving average, and time-averaged mean-squared displacement statistics for tempered fractional Brownian…
Two-dimensional Brownian motion with dependent components: turning angle analysis
Michał Balcerek, Adrian Pacheco-Pozo, Agnieszka Wyłomanska +2
Brownian motion in one or more dimensions is extensively used as a stochastic process to model natural and engineering signals, as well as financial data. Most works dealing with m…
Langevin equation in heterogeneous landscapes: how to choose the interpretation
Adrian Pacheco-Pozo, Michał Balcerek, Agnieszka Wyłomańska +3
The Langevin equation is a common tool to model diffusion at a single-particle level. In non-homogeneous environments, such as aqueous two-phase systems or biological condensates w…