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.
