INSTITUTIONAL DIGITAL REPOSITORY

Browsing by Subject "Gamma process"

Browsing by Subject "Gamma process"

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  • Fractional Levy stable motion time-changed by gamma subordinator 
    Gajda, J.; Wylomanska, A.; Kumar, A. (2019-11-25)
    In this paper a new stochastic process is introduced by subordinating fractional L evy stable motion (FLSM) with gamma process. This new process incorporates stochastic volatility in the parent process FLSM. Fractional ...
  • Fractional Levy stable motion time-changed by gamma subordinator 
    Gajda, J.; Wylomanska, A.; Kumar, A. (2019-05-23)
    In this paper a new stochastic process is introduced by subordinating fractional Levy stable motion (FLSM) with gamma process. This new process incorporates stochastic volatility in the parent process FLSM. Fractional ...
  • Generalized fractional Laplace motion 
    Gajda, J.; Wyłomańska, A.; Kumar, A. (2017-05-09)
    In this paper, a new stochastic process called generalized fractional Laplace motion (GFLM) is introduced. This process is obtained by superposition of nnth-order fractional Brownian motion (nn-FBM) as outer process and ...