کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1157121 958935 2006 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On fractional tempered stable motion
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
On fractional tempered stable motion
چکیده انگلیسی

Fractional tempered stable motion (fTSm) is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian ones but lighter than (non-Gaussian) stable ones. Moreover, in short time it is close to fractional stable Lévy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for simulation and to study some of its sample paths properties.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 116, Issue 8, August 2006, Pages 1161–1184
نویسندگان
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