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math.PR2009
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…
math.PR2008★ 217 cited
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…