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Fractional Brownian motion time-changed by gamma and inverse gamma process - MaRDI portal

Fractional Brownian motion time-changed by gamma and inverse gamma process (Q1620341)

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Fractional Brownian motion time-changed by gamma and inverse gamma process
scientific article

    Statements

    title
    Fractional Brownian motion time-changed by gamma and inverse gamma process (English)
    0 references
    author
    R. Smith
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    published in
    Physica A
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    publication date
    13 November 2018
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    zbMATH Keywords
    subordination
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    gamma process
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    inverse gamma process
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    simulation
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    estimation
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    cites work
    Q3229718
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    Q4937701
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    Q2778406
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    Q4740120
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    Q4865042
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    Student processes
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    Q3331506
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    Q4888858
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    Q4935978
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    Identifiers

    zbMATH DE Number
    6978818
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    OpenAlex ID
    W2346306061
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    arXiv ID
    1605.00086
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