81 citations · 495 across the 57 of their papers we have counts for
64 papers
Intermittency and multiscaling in limit theorems
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
It has been recently discovered that some random processes may satisfy limit theorems even though they exhibit intermittency, namely an unusual growth of moments. In this paper we…
A Survey on Limit Theorems for Toeplitz Type Quadratic Functionals of Stationary Processes and Applications
Mamikon S. Ginovyan, Murad S. Taqqu
This is a survey of recent results on central and non-central limit theorems for quadratic functionals of stationary processes. The underlying processes are Gaussian, linear or Lév…
Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in asset pricing
Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu
We study the semimartingale properties for the generalized fractional Brownian motion (GFBM) introduced by Pang and Taqqu (2019) and discuss the applications of the GFBM and its mi…
Path Properties of a Generalized Fractional Brownian Motion
Tomoyuki Ichiba, Guodong Pang, Murad S. Taqqu
The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a…
Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences
Nikolay M. Babayan, Mamikon S. Ginovyan, Murad S. Taqqu
One of the main problem in prediction theory of discrete-time second-order stationary processes is to describe the asymptotic behavior of the best linear mean squared predic…
Intermittency and infinite variance: the case of integrated supOU processes
Danijel Grahovac, Nikolai N. Leonenko, Murad S. Taqqu
SupOU processes are superpositions of Ornstein-Uhlenbeck type processes with a random intensity parameter. They are stationary processes whose marginal distribution and dependence…