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Physica A Statistical Mechanics and its Applications
Article . 2012 . Peer-reviewed
License: Elsevier TDM
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2012
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
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Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes

Authors: Wyłomańska, Agnieszka;

Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes

Abstract

In the last decade the subordinated processes have become popular and found many practical applications. Therefore in this paper we examine two processes related to time-changed (subordinated) classical Brownian motion with drift (called arithmetic Brownian motion). The first one, so called normal tempered stable, is related to the tempered stable subordinator, while the second one - to the inverse tempered stable process. We compare the main properties (such as probability density functions, Laplace transforms, ensemble averaged mean squared displacements) of such two subordinated processes and propose the parameters' estimation procedures. Moreover we calibrate the analyzed systems to real data related to indoor air quality.

Keywords

FOS: Physical sciences, Mathematical Physics (math-ph), Mathematical Physics

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
30
Top 10%
Top 10%
Top 10%
Green
bronze