Time-changed Poisson processes of order k
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In this article, the Poisson process of order k (PPoK) time-changed with an independent Levy subordinator and its inverse was studied, which they called TCPPoK-I and TCPPoK-II.Abstract:
In this article, we study the Poisson process of order k (PPoK) time-changed with an independent Levy subordinator and its inverse, which we call, respectively, as TCPPoK-I and TCPPoK-II, t...read more
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References
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Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
TL;DR: In this article, the semigroup property of Fokker-planck-Kolmogorov type equations associated with stochastic differential equations driven by a time-changed fractional Brownian motion is investigated.
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Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
Hassan Allouba,Hassan Allouba +1 more
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Scaling in financial prices: I. Tails and dependence
TL;DR: A survey of the present form of some material that is well known yet repeatedly rediscovered can be found in the first issue of a new journal as mentioned in this paper, where the scaling properties of financial prices raise many questions.
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Fractional Laplace model for hydraulic conductivity
TL;DR: In this paper, a new stochastic fractal model, fractional Laplace motion, is proposed based on the assumption of spatially stationary ln(K) increments governed by the Laplace PDF.