Fractional Lévy stable motion: finite difference iterative forecasting model

DOI10.1016/j.chaos.2020.109632zbMath1483.60060MaRDI QIDQ2120387

Wan-Qing Song, Enrico Zio, He Liu, Ming Li, Aleksey Kudreyko

Publication date: 31 March 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.109632

zbMATH Keywords

stochastic differential equation; long-range dependence; forecasting model; fractional Lévy stable motion

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G22: Fractional processes, including fractional Brownian motion

60G18: Self-similar stochastic processes

65C30: Numerical solutions to stochastic differential and integral equations