arXiv subjects
Publications and source records attributed to Chai Hok Eab.
Generalizations of tempered fractional Brownian from single index to two indices and variable index or tempered multifractional Brownian motion are studied. Tempered fractional Brownian motion and tempered multifractional Brownian motion with variable tempering parameter are considered.
Tempered fractional Brownian motion is revisited from the viewpoint of reduced fractional Ornstein-Uhlenbeck process. Many of the basic properties of the tempered fractional Brownian motion can be shown to be direct consequences or modifications of the properties of fractional Ornstein-Uhlenbeck process. Mixed tempered fractional Brownian motion is introduced and its properties are considered. Tempered fractional Brownian motion is generalised from single index to two indices. Finally, tempered multifractional Brownian motion and its properties are studied.
This paper studies Langevin equation with random damping due to multiplicative noise and its solution. Two types of multiplicative noise, namely the dichotomous noise and fractional Gaussian noise are considered. Their solutions are obtained explicitly, with the expressions of the mean and covariance determined explicitly. Properties of the mean and covariance of the Ornstein-Uhlenbeck process with random damping, in particular the asymptotic behavior, are studied. The effect of the multiplicative noise on the stability property of the resulting processes is investigated.
In this paper Gaussian models of retarded and accelerated anomalous diffusion are considered. Stochastic differential equations of fractional order driven by single or multiple fractional Gaussian noise terms are introduced to describe retarding and accelerating subdiffusion and superdiffusion. Short and long time asymptotic limits of the mean squared displacement of the stochastic processes associated with the solutions of these equations are studied. Specific cases of these equations are shown to provide possible descriptions of retarding or accelerating anomalous diffusion.