Related papers: Tempered Fractional Multistable Motion and Tempere…
An elementary system leading to the notions of fractional integrals and derivatives is considered. Various physical situations whose description is associated with fractional differential equations of motion are discussed.
In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption leaves place to a semi-heavy tailed distribution. We show that,…
Small-scale intermittency is a defining feature of fully developed fluid turbulence, marked by rare and extreme fluctuations of velocity increments and gradients that defy mean-field descriptions. Existing multifractal descriptions of…
Dilative semistability extends the notion of semi-selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. It is shown that this scaling relation is a natural extension…
In this paper we investigate the parametric inference for the linear fractional stable motion in high and low frequency setting. The symmetric linear fractional stable motion is a three-parameter family, which constitutes a natural…
The accurate estimation of scaling exponents is central in the observational study of scale-invariant phenomena. Natural systems unavoidably provide observations over restricted intervals; consequently a stationary stochastic process (time…
We extend the class of tempered stable distributions first introduced in Rosinski 2007. Our new class allows for more structure and more variety of tail behaviors. We discuss various subclasses and the relation between them. To characterize…
Linear fractional stable motion, denoted by $\{X_{H,\al}(t)\}_{t\in \R}$, is one of the most classical stable processes; it depends on two parameters $H\in (0,1)$ and $\al\in (0,2)$. The parameter $H$ characterizes the self-similarity…
The prime aim of the present paper is to continue developing the theory of tempered fractional integrals and derivatives of a function with respect to another function. This theory combines the tempered fractional calculus with the…
We find that multifractal scaling is a robust property of a large class of continuous stochastic processes, constructed as exponentials of long-memory processes. The long memory is characterized by a power law kernel with tail exponent…
We analyzed conditions for Hopf and Turing instabilities to occur in two-component fractional reaction-diffusion systems. We showed that the eigenvalue spectrum and fractional derivative order mainly determine the type of instability and…
Self-similar stable mixed moving average processes can be related to nonsingular flows through their minimal representations. Self-similar stable mixed moving averages related to dissipative flows have been studied, as well as processes…
We study a class of multivariate tempered stable distributions and introduce the associated class of tempered stable Sato subordinators. These Sato subordinators are used to build additive inhomogeneous processes by subordination of a…
We study the limit of the joint distribution of a multidimensional Generalized Tempered Stable (GTS) process and its quadratic covariation process when the stable index tends to two. Under a proper scaling, the GTS processes converges to a…
We study general aspects of active motion with fluctuations in the speed and the direction of motion in two dimensions. We consider the case in which fluctuations in the speed are not correlated to fluctuations in the direction of motion,…
Stable non-Gaussian self-similar mixed moving averages can be decomposed into several components. Two of these are the periodic and cyclic fractional stable motions which are the subject of this study. We focus on the structure of their…
In this article, we study the potential theory of normal tempered stable process which is obtained by time-changing the Brownian motion with a tempered stable subordinator. Precisely, we study the asymptotic behavior of potential density…
A fractional generalization of variations is used to define a stability of non-integer order. Fractional variational derivatives are suggested to describe the properties of dynamical systems at fractional perturbations. We formulate…
Functionals in geometric probability are often expressed as sums of bounded functions exhibiting exponential stabilization. Methods based on cumulant techniques and exponential modifications of measures show that such functionals satisfy…
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous L\'{e}vy processes. With a view of option pricing, we provide a systematic analysis of the existence of…