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4 papers · 1 filter
Fractional Normal Inverse Gaussian Process
Arun Kumar, P. Vellaisamy
Normal inverse Gaussian (NIG) process was introduced by Barndorff-Nielsen (1997) by subordinating Brownian motion with drift to an inverse Gaussian process. Increments of NIG proce…
A Class of degenerate Stochastic differential equations with non-Lipschitz coefficients
K. Suresh Kumar
We obtain sufficient condition for SDEs to evolve in the positive orthant. We use comparison theorem arguments to achieve this. As a result we prove the existence of a unique stron…
Fractional Cauchy problems on bounded domains
Mark M. Meerschaert, Erkan Nane, P. Vellaisamy
Fractional Cauchy problems replace the usual first-order time derivative by a fractional derivative. This paper develops classical solutions and stochastic analogues for fractional…
Limit laws for k-coverage of paths by a Markov-Poisson-Boolean model
Srikanth K. Iyer, D. Manjunath, D. Yogeshwaran
Let P := {X_i,i >= 1} be a stationary Poisson point process in R^d, {C_i,i >= 1} be a sequence of i.i.d. random sets in R^d, and {Y_i^t; t \geq 0, i >= 1} be i.i.d. {0,1}-valued co…