Fractional Brownian motion time-changed by gamma and inverse gamma process (Q1620341): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 4 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: longmemo / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2346306061 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1605.00086 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some recent developments in stochastic volatility modelling / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusion Equation and Stochastic Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3229718 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: High-frequency trading model for a complex trading hierarchy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Two-time scale subordination in physical processes with long-term memory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subordinated diffusion and continuous time random walk asymptotics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2778406 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian Motions, Fractional Noises and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-Term Memory in Stock Market Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4740120 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4865042 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Student processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Laplace motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random Walks on Lattices. II / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic representation of subdiffusion processes with time-dependent drift / rank
 
Normal rank
Property / cites work
 
Property / cites work: Subordinated Brownian Motion and its Fractional Fokker–Planck Equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the First Passage time for Brownian Motion Subordinated by a Lévy Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Langevin picture of subdiffusion with infinitely divisible waiting times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Distribution of directional change as a signature of complex dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling anomalous diffusion by a subordinated fractional Lévy-stable process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Codifference as a practical tool to measure interdependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Triangular array limits for continuous time random walks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3331506 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inverse tempered stable subordinators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4888858 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Probability, Random Processes, and Ergodic Properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM / rank
 
Normal rank
Property / cites work
 
Property / cites work: Geometric Brownian motion with tempered stable waiting times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Scaling behaviors in differently developed markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4935978 / rank
 
Normal rank

Latest revision as of 08:44, 17 July 2024

scientific article
Language Label Description Also known as
English
Fractional Brownian motion time-changed by gamma and inverse gamma process
scientific article

    Statements

    Fractional Brownian motion time-changed by gamma and inverse gamma process (English)
    0 references
    0 references
    0 references
    13 November 2018
    0 references
    subordination
    0 references
    gamma process
    0 references
    inverse gamma process
    0 references
    simulation
    0 references
    estimation
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers