Please use this identifier to cite or link to this item: http://dspace.iitrpr.ac.in:8080/xmlui/handle/123456789/2466
Title: Fractional brownian motion delayed by tempered and inverse tempered stable subordinators
Authors: Kumar, A.
Gajda, J.
Wyłomanska, A.
Połoczanski, R.
Keywords: Subordination
Tempered stable process
Inverse tempered stable process
Fractional Brownian motion
Simulation
Issue Date: 25-Aug-2021
Abstract: In recent years subordinated processes have been widely considered in the literature. These processes not only have wide applications but also have interesting theoretical properties. In this paper we consider fractional Brownian motion (FBM) time-changed by two processes, tempered stable and inverse tempered stable. We present main properties of the subordinated FBM such as long range dependence and associated fractional partial differential equations for the probability density functions. Moreover, we present how to simulate both subordinated processes.
URI: http://localhost:8080/xmlui/handle/123456789/2466
Appears in Collections:Year-2019

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