Fractional normal inverse Gaussian diffusion

DOI10.1016/J.SPL.2010.10.007MaRDI QIDQ618023zbMATH OpenOpenAlexFDO

Authors Arun Kumar, Mark M. Meerschaert, P. Vellaisamy

Publication date 14 January 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.10.007

zbMATH Keywords

fractional Brownian motionsubordinationcontinuous time random walknormal inverse Gaussian process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50)

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Cited in

(15)

• Itô's formula for Gaussian processes with stochastic discontinuities
• Multi-scaling limits for time-fractional relativistic diffusion equations with random initial data
• Stable Lévy process delayed by tempered stable subordinator
• First-exit times of an inverse Gaussian process
• Fractional discrete processes: compound and mixed Poisson representations
• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• On fractional tempered stable processes and their governing differential equations
• Approximation for the normal inverse Gaussian process using random sums
• Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator
• Fractional diffusion in Gaussian noisy environment
• Stable Lévy motion with inverse Gaussian subordinator
• Time-changed Poisson processes
• Multi-scaling limits for relativistic diffusion equations with random initial data
• Feller processes of normal inverse Gaussian type
• Fractional normal inverse Gaussian process

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