Fractional Laplace motion

DOI10.1239/aap/1151337079zbMath1100.60017MaRDI 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

subordination; fractional Brownian motion; self-similarity; long-range dependence; gamma process

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G07: General theory of stochastic processes

60G18: Self-similar stochastic processes

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

Uses Software

• longmemo

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