Fractional Brownian Motion Delayed by Tempered and Inverse Tempered Stable Subordinators Article Swipe

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Mathematics Fractional Brownian motion Inverse Subordinator Brownian motion Range (aeronautics) Stable process Mathematical analysis Applied mathematics Stochastic process Lévy process Statistics Geometry Composite material Materials science

Arun Kumar , Janusz Gajda , Agnieszka Wyłomańska , Rafał Połoczański ·

YOU? · · 2018 · Open Access · · DOI: https://doi.org/10.1007/s11009-018-9648-x · OA: W2809421269

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 Brownian motion (FBM) time-changed by two processes, tempered stable and inverse tempered stable. We present main properties of the subordinated FBM such as long range dependence and associated fractional partial differential equations for the probability density functions. Moreover, we present how to simulate both subordinated processes.