Fractional normal inverse Gaussian diffusion
DSpace at IIT Bombay
View Archive InfoField | 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
|
|