M. Taqqu

activity

20042010

most citedNon-Markovian diffusion equations and processes: analysis and simulations

81 citations · 146 across the 14 of their papers we have counts for

collaborators

Showing 2009Show all

3 papers · 1 filter

math.PR2009

Using Differential Equations to Obtain Joint Moments of First-Passage Times of Increasing Levy Processes

Mark S. Veillette, Murad S. Taqqu

Let ${D (s), s \geq 0}$ be a Lévy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that $D (0) = 0$ . We study the first-hitti…

math.PR2009

Numerical Computation of First-Passage Times of Increasing Levy Processes

Mark S. Veillette, Murad S. Taqqu

Let ${D (s), s \geq 0}$ be a non-decreasing Lévy process. The first-hitting time process ${E (t) t \geq 0}$ (which is sometimes referred to as an inverse subordinator) defined by…

math.PR2009★ 2 cited

A multiple stochastic integral criterion for almost sure limit theorems

Bernard Bercu, Ivan Nourdin, Murad S. Taqqu

In this paper, we study almost sure central limit theorems for multiple stochastic integrals and provide a criterion based on the kernel of these multiple integrals. We apply our r…