Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes
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References listed on IDEAS
- Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
- Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
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- Kumar, A. & Wyłomańska, A. & Połoczański, R. & Sundar, S., 2017. "Fractional Brownian motion time-changed by gamma and inverse gamma process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 648-667.
- repec:eee:phsmap:v:486:y:2017:i:c:p:628-637 is not listed on IDEAS
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KeywordsSubordination; Brownian motion; Tempered stable; Diffusion; Anomalous diffusion; Calibration;
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