Abstract:
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 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.
