Correlation Structure of Time-Changed Generalized Mixed Fractional Brownian Motion

Autor:	Ezzedine Mliki
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	fractional Brownian motion generalized mixed fractional Brownian motion long-range dependence tempered stable subordinator gamma process Thermodynamics QC310.15-319 Mathematics QA1-939 Analysis QA299.6-433
Zdroj:	Fractal and Fractional, Vol 7, Iss 8, p 591 (2023)
Druh dokumentu:	article
ISSN:	2504-3110
DOI:	10.3390/fractalfract7080591
Popis:	The generalized mixed fractional Brownian motion (gmfBm) is a Gaussian process with stationary increments that exhibits long-range dependence controlled by its Hurst indices. It is defined by taking linear combinations of a finite number of independent fractional Brownian motions with different Hurst indices. In this paper, we investigate the long-time behavior of gmfBm when it is time-changed by a tempered stable subordinator or a gamma process. As a main result, we show that the time-changed process exhibits a long-range dependence property under some conditions on the Hurst indices. The time-changed gmfBm can be used to model natural phenomena that exhibit long-range dependence, even when the underlying process is not itself long-range dependent.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/dfdae103517f4d039581797b4761c33e Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.