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Self-Exciting Multifractional Processes

By Fabian Harang and others
We propose a new multifractional stochastic process which allows for self-exciting behavior, similar to what can be seen for example in earthquakes and other self-organizing phenomena. The process can be seen as an extension of a multifractional Brownian motion, where the Hurst function is dependent on the past of the... Show more
August 15, 2019
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Self-Exciting Multifractional Processes
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