Results 131 to 140 of about 170 (158)

Characterization of the inverse stable subordinator

Statistics and Probability Letters, 2018
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Farouk Mselmi
exaly   +3 more sources

Stable Lévy motion with inverse Gaussian subordinator

Physica A: Statistical Mechanics and Its Applications, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Agnieszka Wyłomańska, J Gajda
exaly   +2 more sources

Fractional Poisson Process Time-Changed by Lévy Subordinator and Its Inverse

Journal of Theoretical Probability, 2017
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P Vellaisamy, Vellaisamy P
exaly   +2 more sources

Inverse Gaussian and its inverse process as the subordinators of fractional Brownian motion

Physical Review E, 2016
In this paper we study the fractional Brownian motion (FBM) time changed by the inverse Gaussian (IG) process and its inverse, called the inverse to the inverse Gaussian (IIG) process. Some properties of the time-changed processes are similar to those of the classical FBM, such as long-range dependence.
WYLOMANSKA, A, KUMAR, A, POLOCZANSKI, R, VELLAISAMY, P   +3 more
openaire   +3 more sources

Risk process with mixture of tempered stable inverse subordinators: Analysis and synthesis

Random Operators and Stochastic Equations, 2023
Abstract We propose two fractional risk models, where the classical risk process is time-changed by the mixture of tempered stable inverse subordinators. We characterize the risk processes by deriving the marginal distributions and establish the moments and covariance structure.
Tetyana Kadankova, Wing Chun Vincent Ng
openaire   +3 more sources

Inverse tempered stable subordinators and related processes with Mellin transform

Statistics & Probability Letters, 2022
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Gupta, Neha, Kumar, Arun
openaire   +2 more sources

À peine avaient-ils introduit une inversion dans leur énoncé que la subordination s'imposa  : subordination inverse et inversion subordonnante ?

Langages, 2015
Dans cette contribution, nous reviendrons sur les subordinations inverses du type À peine Préd1 que/ø/et Préd2 et poserons la question de l'identification du mode de liaison ainsi que du degré de complexité à l'œuvre dans ces structures. Nous verrons dans un premier temps qu'il est difficile de s'en remettre aux marqueurs ; c'est pourquoi, nous ...
Roig, Audrey, van Raemdonck, Dan
openaire   +5 more sources

Inverse Subordination of Excessive Functions

1994
Let X be a right process, and let M be a multiplicative functional (MF) of X. We use the standard terminology and notation for right processes. See [BG], [S] or [DM87]. In particular let S := inf{t : M t = 0} and E M := {x : P x (S > 0) = 1} = {x : P x (M 0 = 1) = 1}. The operator P M 1 is defined for q ≥ 0 by $$P_M^qf(x): = \left\{ {\begin{array}{*
R. K. Getoor, M. J. Sharpe
openaire   +1 more source

The tempered stable process with infinitely divisible inverse subordinators

Journal of Statistical Mechanics: Theory and Experiment, 2013
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openaire   +2 more sources

Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators [PDF]

, 2012
In this paper we consider a generalization of one of the earliest models of an asset price, namely the Black–Scholes model, which captures the subdiffusive nature of an asset price dynamics. We introduce the geometric Brownian motion time-changed by infinitely divisible inverse subordinators, to reflect underlying anomalous diffusion mechanism.
Marcin Magdziarz, Janusz Gajda
openaire