12 citations · 12 across the 2 of their papers we have counts for
2 papers
math.PR2013★ 12 cited
Fractional Brownian Motion with Variable Hurst Parameter: Definition and Properties
Jelena Ryvkina
A class of Gaussian processes generalizing the usual fractional Brownian motion for Hurst indices in (1/2,1) and multifractal Brownian motion introduced in Ralchenko and Shevchenko…
math.PR2010
On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
Marjorie G. Hahn, Kei Kobayashi, Jelena Ryvkina +1
This paper establishes Fokker-Planck-Kolmogorov type equations for time-changed Gaussian processes. Examples include those equations for a time-changed fractional Brownian motion w…