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arXiv · 1702.07258

Tempered fractional Brownian and stable motions of second kind

Farzad Sabzikar·Donatas Surgailis
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Abstract

Meerschaert and Sabzikar [12], [13] introduced tempered fractional Brownian/stable motion (TFBM/TFSM) by including an exponential tempering factor in the moving average representation of FBM/FSM. The present paper discusses another tempered version of FBM/FSM, termed tempered fractional Brownian/stable motion of second kind (TFBM II/TFSM II).We prove that TFBM/TFSM and TFBM II/TFSM II are different processes. Particularly, large time properties of TFBM II/TFSM II are similar to those of FBM/FSM and are in deep contrast to large time properties of TFBM/TFSM.

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Farzad Sabzikar, Donatas Surgailis. 2017-02-23. Tempered fractional Brownian and stable motions of second kind. https://arxiv.org/abs/1702.07258

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