Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/4693
Title: On fractional tempered stable motion.
Authors: Houdré, Christian
Kawai, Reiichiro
First Published: Aug-2006
Publisher: Elsevier
Citation: Stochastic Processes and their Applications, 2006, 116 (8), pp. 1161-1184.
Abstract: 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.
DOI Link: 10.1016/j.spa.2006.01.008
ISSN: 0304-4149
Links: http://www.sciencedirect.com/science/article/pii/S030441490600010X
http://hdl.handle.net/2381/4693
Type: Article
Rights: This is the author's final draft of the paper published as Stochastic Processes and their Applications, 2006, 116 (8), pp. 1161-1184. The final version is available from http://www.sciencedirect.com/science/journal/03044149. Doi: 10.1016/j.spa.2006.01.008
Appears in Collections:Published Articles, Dept. of Mathematics

Files in This Item:
File Description SizeFormat 
ftsm.pdf239.69 kBAdobe PDFView/Open


Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.