Fractional Laplace motion

DOI10.1239/aap/1151337079zbMath1100.60017OpenAlexW2079486431MaRDI QIDQ5480007

Krzysztof Podgórski, Mark M. Meerschaert, Tomasz J. Kozubowski

Publication date: 25 July 2006

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1151337079

zbMATH Keywords

subordinationfractional Brownian motionself-similaritylong-range dependencegamma process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) General theory of stochastic processes (60G07) Self-similar stochastic processes (60G18)

Related Items

Some limit results on supremum of Shepp statistics for fractional Brownian motion ⋮ Fractional Brownian motion time-changed by gamma and inverse gamma process ⋮ Random diffusivity models for scaled Brownian motion ⋮ Fractional Gamma and Gamma-Subordinated Processes ⋮ Linnik Lévy process and some extensions ⋮ Fractional Lévy stable motion time-changed by gamma subordinator ⋮ On the asymptotics of supremum distribution for some iterated processes ⋮ Itô's formula for Gaussian processes with stochastic discontinuities ⋮ Variance gamma (nonlocal) equations ⋮ Fractional reproduction-dispersal equations and heavy tail dispersal kernels ⋮ Exact asymptotics of supremum of a stationary Gaussian process over a random interval ⋮ Asymptotics of supremum distribution of a Gaussian process over a Weibullian time ⋮ A bivariate Lévy process with negative binomial and gamma marginals ⋮ Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals ⋮ Rosenblatt Laplace motion ⋮ Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators ⋮ Extremes of Shepp statistics for fractional Brownian motion ⋮ Limit theorems for supremum of Gaussian processes over a random interval ⋮ Generalized fractional Laplace motion ⋮ Fractional Discrete Processes: Compound and Mixed Poisson Representations ⋮ Fractional normal inverse Gaussian process ⋮ Codifference as a practical tool to measure interdependence ⋮ Tempered positive Linnik processes and their representations ⋮ Tempered Mittag-Leffler Lévy processes

Uses Software

• longmemo

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