Fractional normal inverse Gaussian diffusion

DOI10.1016/j.spl.2010.10.007zbMath1210.60040OpenAlexW1986377601MaRDI QIDQ618023

Arun Kumar, Mark M. Meerschaert, Palaniappan Vellaisamy

Publication date: 14 January 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.10.007

zbMATH Keywords

subordinationfractional Brownian motioncontinuous time random walknormal inverse Gaussian process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50)

Related Items

Stable Lévy motion with inverse Gaussian subordinator, On fractional tempered stable processes and their governing differential equations, First-exit times of an inverse Gaussian process, Itô's formula for Gaussian processes with stochastic discontinuities, Multi-scaling limits for time-fractional relativistic diffusion equations with random initial data, Time-changed Poisson processes, Stable Lévy process delayed by tempered stable subordinator, Fractional Discrete Processes: Compound and Mixed Poisson Representations, An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach, Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator, Multi-scaling limits for relativistic diffusion equations with random initial data

Uses Software

• itsmr

Cites Work

• Correlated continuous time random walks
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• The random walk's guide to anomalous diffusion: A fractional dynamics approach
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