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|Title:||On fractional tempered stable motion.|
|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.|
|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|
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