INSTITUTIONAL DIGITAL REPOSITORY

Browsing Year-2019 by Author "Gajda, J."

Browsing Year-2019 by Author "Gajda, J."

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  • 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 ...
  • 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 ...
  • Tempered Mittag-Leffler lévy processes 
    Kumar, A.; Upadhye, N. S.; Wyłomanska, A.; Gajda, J. (2021-08-27)
    In this article, we introduce tempered Mittag-Leffler Lévy processes (TMLLP). TMLLP is represented as tempered stable subordinator delayed by a gamma process. Its probability density function and Lévy density are obtained ...

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