dc.contributor.author |
Gajda, J. |
|
dc.contributor.author |
Wylomanska, A. |
|
dc.contributor.author |
Kumar, A. |
|
dc.date.accessioned |
2019-11-25T11:11:34Z |
|
dc.date.available |
2019-11-25T11:11:34Z |
|
dc.date.issued |
2019-11-25 |
|
dc.identifier.uri |
http://localhost:8080/xmlui/handle/123456789/1378 |
|
dc.description.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. |
en_US |
dc.language.iso |
en_US |
en_US |
dc.subject |
Fractional Levy stable motion |
en_US |
dc.subject |
Gamma process |
en_US |
dc.subject |
Symmetric Levy stable motion |
en_US |
dc.subject |
Subordination |
en_US |
dc.title |
Fractional Levy stable motion time-changed by gamma subordinator |
en_US |
dc.type |
Article |
en_US |