Fractional Brownian Motion Delayed by Tempered and Inverse Tempered Stable Subordinators

A. Kumar (), J. Gajda (), A. Wyłomańska and R. Połoczański
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A. Kumar: Indian Institute of Technology Ropar
J. Gajda: Wrocław University of Science and Technology
A. Wyłomańska: Wrocław University of Science and Technology
R. Połoczański: Wrocław University of Science and Technology

Methodology and Computing in Applied Probability, 2019, vol. 21, issue 1, 185-202

Abstract: Abstract In recent years subordinated processes have been widely considered in the literature. These processes not only have wide applications but also have interesting theoretical properties. In this paper we consider fractional Brownian motion (FBM) time-changed by two processes, tempered stable and inverse tempered stable. We present main properties of the subordinated FBM such as long range dependence and associated fractional partial differential equations for the probability density functions. Moreover, we present how to simulate both subordinated processes.

Keywords: Subordination; Tempered stable process; Inverse tempered stable process; Fractional Brownian motion; Simulation; 60G20; 60G10; 35R11 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11009-018-9648-x

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