Abstract:
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 order moments, tail asymptotic, codifference and
persistence of signs long-range dependence of the new process are
discussed. A step-by-step procedure for simulations of sample trajectories and estimation of the parameters of the introduced process
are given. Our study complements and generalizes the results available on variance-gamma process and fractional Laplace motion in
various directions, which are well studied processes in literature.
