INSTITUTIONAL DIGITAL REPOSITORY

Browsing Research Publications by Subject "Subordination"

Browsing Research Publications by Subject "Subordination"

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  • Fractional brownian motion delayed by tempered and inverse tempered stable subordinators 
    Kumar, A.; Gajda, J.; Wyłomanska, A.; Połoczanski, R. (2018-12-29)
    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 ...
  • Fractional brownian motion delayed by tempered and inverse tempered stable subordinators 
    Kumar, A.; Gajda, J.; Wyłomanska, A.; Połoczanski, R. (2021-08-25)
    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 ...
  • 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 ...
  • Moment-based estimation for parameters of general inverse subordinator 
    Grzesiek, A.; Połoczańsk, R.; Kumar, A.; Wyłomańska, A. (2021-06-04)
    In recent years the processes with anomalous diffusive dynamics have been widely discussed in the literature. The classic example of the anomalous diffusive models is the continuous time random walk (CTRW) which is a ...
  • Stable Lévy motion with inverse Gaussian subordinator 
    Kumar, A.; Wyłomańska, A.; Gajda, J. (2017-05-23)
    In this paper we study the stable Lévy motion subordinated by the so-called inverse Gaussian process. This process extends the well known normal inverse Gaussian (NIG) process introduced by Barndorff-Nielsen, which arises ...
  • Stable Lévy process delayed by tempered stable subordinator 
    Gajda, J.; Kumar, A.; Wyłomańska, A. (2018-11-12)
    We consider symmetric stable Lévy motion time-changed by tempered stable subordinator. This process generalizes the normal inverse Gaussian process without drift term, introduced by Barndorff-Nielsen. The asymptotic tail ...

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