Journal ArticleDOI
Fractional normal inverse Gaussian diffusion
TLDR
In this article, the authors show that the FNIG process emerges naturally as the limit of a random walk with correlated jumps separated by i.i.d. waiting times, and that the NIG process, a Brownian motion subordinated to an inverse Gaussian process, is the limit for random walks with uncorrelated jumps.About:
This article is published in Statistics & Probability Letters.The article was published on 2011-01-01. It has received 24 citations till now. The article focuses on the topics: Fractional Brownian motion & Continuous-time random walk.read more
Citations
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Journal ArticleDOI
Convergence of Probability Measures
TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.
Journal ArticleDOI
An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
TL;DR: It is shown that, using an approximate stochastic weak solution to (linear) stochastically partial differential equations, some Gaussian fields in the Matérn class can provide an explicit link, for any triangulation of , between GFs and GMRFs, formulated as a basis function representation.
Book
Lévy processes and infinitely divisible distributions
TL;DR: In this paper, the authors consider the distributional properties of Levy processes and propose a potential theory for Levy processes, which is based on the Wiener-Hopf factorization.
Journal ArticleDOI
Correlation Structure of Time-Changed Lévy Processes
TL;DR: In this article, the correlation function for time-changed L evy processes has been studied in the context of continuous time random walks, where the second-order correlation function of a continuous-time random walk is defined.
Journal ArticleDOI
Time-changed Poisson processes
TL;DR: In this article, the authors considered time-changed Poisson processes and derived the governing difference-differential equations (DDEs) for these processes, and derived a new governing partial differential equation for the tempered stable subordinator of index 0 β 1.
References
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Book
Convergence of Probability Measures
TL;DR: Weak Convergence in Metric Spaces as discussed by the authors is one of the most common modes of convergence in metric spaces, and it can be seen as a form of weak convergence in metric space.
Journal ArticleDOI
The random walk's guide to anomalous diffusion: a fractional dynamics approach
Ralf Metzler,Joseph Klafter +1 more
TL;DR: Fractional kinetic equations of the diffusion, diffusion-advection, and Fokker-Planck type are presented as a useful approach for the description of transport dynamics in complex systems which are governed by anomalous diffusion and non-exponential relaxation patterns.
Journal ArticleDOI
Fractional Brownian Motions, Fractional Noises and Applications
Book
Limit Theorems for Stochastic Processes
Jean Jacod,Albert N. Shiryaev +1 more
TL;DR: In this article, the General Theory of Stochastic Processes, Semimartingales, and Stochastically Integrals is discussed and the convergence of Processes with Independent Increments is discussed.
Journal ArticleDOI
Convergence of Probability Measures
TL;DR: Convergence of Probability Measures as mentioned in this paper is a well-known convergence of probability measures. But it does not consider the relationship between probability measures and the probability distribution of probabilities.