Higher order fractional stable motion: hyperdiffusion with heavy tails

DOI10.1007/S10955-016-1602-0MaRDI QIDQ503384zbMATH OpenOpenAlexFDO

Authors Reiichiro Kawai

Publication date 12 January 2017

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10955-016-1602-0

zbMATH Keywords

heavy tailsfractional Brownian motionself-similar processfractional stable motionhyper-diffusion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Sample path properties (60G17) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

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Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
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• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
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• Fourier series approximation of linear fractional stable motion
• Fractional normal inverse Gaussian process
• Interchanging the order of differentiation and stochastic integration
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• On certain self-decomposable distributions
• On fractional tempered stable motion
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
• Simulating Sample Paths of Linear Fractional Stable Motion
• The asymptotic dependence structure of the linear fractional Lévy motion

Cited in

(4)

• Subdiffusive search with home returns via stochastic resetting: a subordination scheme approach
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• A general approach to sample path generation of infinitely divisible processes via shot noise representation

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• longmemo

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