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math.PR2026
Lamperti scaling for fractional Gaussian processes with non-stationary increments
Foad Shokrollahi, Saeed Vahdati
The Lamperti transform offers a powerful bridge between self-similar processes and stationary dynamics, making it especially useful for analyzing anomalous diffusion models that la…
math.PR2024
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
Kostiantyn Ralchenko, Foad Shokrollahi, Tommi Sottinen
We establish the rate of convergence in the -norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motio…