arXiv subjects

Shaykhah Alajmi

Publications and source records attributed to Shaykhah Alajmi.

2 recordsLinked to original sources

arXiv2021

Mixed Generalized Fractional Brownian Motion

To extend several known centered Gaussian processes, we introduce a new centered mixed self-similar Gaussian process called the mixed generalized fractional Brownian motion, which could serve as a good model for a larger class of natural phenomena. This process generalizes both the well known mixed fractional Brownian motion introduced by Cheridito [10] and the generalized fractional Brownian motion introduced by Zili [31]. We study its main stochastic properties, its non-Markovian and non-stationarity characteristics and the conditions under which it is not a semimartingale. We prove the long range dependence properties of this process.

math.PR↗

arXiv2021

On the long range dependence of time-changed mixed fractional Brownian motion model

A time-changed mixed fractional Brownian motion is an iterated process constructed as the superposition of mixed fractional Brownian motion and other process. In this paper we consider mixed fractional Brownian motion of parameters a, b and H\in(0, 1) time-changed by two processes, gamma and tempered stable subordinators. We present their main properties paying main attention to the long range dependence. We deduce that the fractional Brownian motion time-changed by gamma and tempered stable subordinators has long range dependence property for all H\in(0, 1).

math.PR↗