Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
DOI10.1007/S10955-011-0191-1zbMATH Open1219.82129OpenAlexW2151186866MaRDI QIDQ548121FDOQ548121
Agnieszka Wyłomańska, Sebastian Orzeł
Publication date: 28 June 2011
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/28593/1/MPRA_paper_28593.pdf
Diffusion processes (60J60) Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
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Cited In (16)
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Option pricing in subdiffusive Bachelier model
- Parameter estimation for one-sided heavy-tailed distributions
- Generalized Langevin equation with tempered memory kernel
- The tempered stable process with infinitely divisible inverse subordinators
- Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
- Geometric Brownian motion with tempered stable waiting times
- Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime
- Optimal statistical inference for subdiffusion processes
- Tempered stable Lévy motion driven by stable subordinator
- Fractional Gamma and Gamma-Subordinated Processes
- Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
- On fractional tempered stable processes and their governing differential equations
- The use of bias correction versus the jackknife when testing the mean reversion and long term mean parameters in continuous time models
- Applications of inverse tempered stable subordinators
- Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
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