Fractional normal inverse Gaussian diffusion

DOI10.1016/J.SPL.2010.10.007zbMATH Open1210.60040OpenAlexW1986377601MaRDI QIDQ618023FDOQ618023

Authors: Arun Kumar, Mark M. Meerschaert, P. Vellaisamy 

Publication date: 14 January 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.10.007

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zbMATH Keywords

fractional Brownian motionsubordinationcontinuous time random walknormal inverse Gaussian process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50)

Cites Work

• Introduction to Time Series and Forecasting
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• Fractional differencing
• Fractional Brownian Motions, Fractional Noises and Applications
• The Invariance Principle for Stationary Processes
• Processes of normal inverse Gaussian type
• Stochastic-Process Limits
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• Lévy Processes and Stochastic Calculus
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Random Walks on Lattices. II
• Limit theorems for continuous-time random walks with infinite mean waiting times
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• Limit theorems for occupation times of Markov processes
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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Limit theorem for continuous-time random walks with two time scales
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• Correlated continuous time random walks
• Approximation for the normal inverse Gaussian process using random sums

Cited In (13)

• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• Multi-scaling limits for time-fractional relativistic diffusion equations with random initial data
• Itô's formula for Gaussian processes with stochastic discontinuities
• Multi-scaling limits for relativistic diffusion equations with random initial data
• Stable Lévy motion with inverse Gaussian subordinator
• Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator
• Time-changed Poisson processes
• First-exit times of an inverse Gaussian process
• Fractional diffusion in Gaussian noisy environment
• On fractional tempered stable processes and their governing differential equations
• Fractional Discrete Processes: Compound and Mixed Poisson Representations
• Approximation for the normal inverse Gaussian process using random sums
• Stable Lévy process delayed by tempered stable subordinator

Uses Software

• itsmr

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