INSTITUTIONAL DIGITAL REPOSITORY

Browsing Year-2019 by Subject "Subordination"

Browsing Year-2019 by Subject "Subordination"

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  • 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 ...
  • 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 ...
  • 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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