| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156622 | Stochastic Processes and their Applications | 2014 | 25 Pages |
Abstract
Tempered fractional Brownian motion is obtained when the power law kernel in the moving average representation of a fractional Brownian motion is multiplied by an exponential tempering factor. This paper develops the theory of stochastic integrals for tempered fractional Brownian motion. Along the way, we develop some basic results on tempered fractional calculus.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Mark M. Meerschaert, Farzad Sabzikar,