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Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning
Dawid Szarek, Ireneusz Jabłoński, Diego Krapf and Agnieszka Wyłomańska Chaos: An Interdisciplinary Journal of Nonlinear Science 32(8) (2022) https://doi.org/10.1063/5.0093836
Self-intersection local times for multifractional Brownian motion in higher dimensions: A white noise approach
Wolfgang Bock, Jose Luis da Silva and Herry Pribawanto Suryawan Infinite Dimensional Analysis, Quantum Probability and Related Topics 23(01) 2050007 (2020) https://doi.org/10.1142/S0219025720500071
Time-varying Hurst–Hölder exponents and the dynamics of (in)efficiency in stock markets
Local times for multifractional Brownian motion in higher dimensions: A white noise approach
Wolfgang Bock, José Luís da Silva and Herry P. Suryawan Infinite Dimensional Analysis, Quantum Probability and Related Topics 19(04) 1650026 (2016) https://doi.org/10.1142/S0219025716500260