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Fractional normal inverse Gaussian diffusion

DSpace at IIT Bombay

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Field Value
 
Title Fractional normal inverse Gaussian diffusion
 
Creator KUMAR, A
MEERSCHAERT, MM
VELLAISAMY, P
 
Subject TIME RANDOM-WALKS
LIMIT-THEOREMS
TRANSPORT
DYNAMICS
Continuous time random walk
Fractional Brownian motion
Normal inverse Gaussian process
Subordination
 
Description A fractional normal inverse Gaussian (FNIG) process is a fractional Brownian motion subordinated to an inverse Gaussian process. This paper shows how the FNIG process emerges naturally as the limit of a random walk with correlated jumps separated by i.i.d. waiting times. Similarly, we show that the NIG process, a Brownian motion subordinated to an inverse Gaussian process, is the limit of a random walk with uncorrelated jumps separated by i.i.d, waiting times. The FNIG process is also derived as the limit of a fractional ARIMA processes. Finally, the NIG densities are shown to solve the relativistic diffusion equation from statistical physics. (C) 2010 Elsevier B.V. All rights reserved.
 
Publisher ELSEVIER SCIENCE BV
 
Date 2012-06-26T08:32:08Z
2012-06-26T08:32:08Z
2011
 
Type Article
 
Identifier STATISTICS & PROBABILITY LETTERS,81(1)146-152
0167-7152
http://dx.doi.org/10.1016/j.spl.2010.10.007
http://dspace.library.iitb.ac.in/jspui/handle/100/14189
 
Language English