Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
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Cites work
- scientific article; zbMATH DE number 5566166 (Why is no real title available?)
- scientific article; zbMATH DE number 2015776 (Why is no real title available?)
- scientific article; zbMATH DE number 2061791 (Why is no real title available?)
- scientific article; zbMATH DE number 3992730 (Why is no real title available?)
- Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
- Langevin picture of subdiffusion with infinitely divisible waiting times
- Option pricing in subdiffusive Bachelier model
- Random walks on lattices. II
- Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
- Stochastic solution of space-time fractional diffusion equations
- Subordinated Brownian Motion and its Fractional Fokker–Planck Equation
- Tempered stable Lévy motion and transient super-diffusion
- Tempering stable processes
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
- Two-time scale subordination in physical processes with long-term memory
Cited in
(16)- Option pricing in subdiffusive Bachelier model
- Parameter estimation for one-sided heavy-tailed distributions
- Fractional gamma and gamma-subordinated processes
- Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
- Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
- The tempered stable process with infinitely divisible inverse subordinators
- Tempered stable Lévy motion driven by stable subordinator
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
- On fractional tempered stable processes and their governing differential equations
- Generalized Langevin equation with tempered memory kernel
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Applications of inverse tempered stable subordinators
- Geometric Brownian motion with tempered stable waiting times
- The use of bias correction versus the jackknife when testing the mean reversion and long term mean parameters in continuous time models
- Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
- Optimal statistical inference for subdiffusion processes
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