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Non-Gaussian distributions
DOI:10.1016/S0096-3003(98)10003-6.png)
摘要
En 中文
In this work, we study some problems about non-Gaussian distributions, hyper or hypo diffusions where the beta order moments are of type t(beta/alpha) with beta and alpha belonging to R+*. We introduce signed measures corresponding to these diffusions on R, inspired by the classical techniques in the brownian case. We examine some specific cases of hyper and hypo diffusions and we propose a generalization of Ito formula for non-Gaussian diffusions. Finally, we give a numerical method based on Discrete Fourier Transforms (DFT) for the resolution of an anomalous diffusion equation. (C) 1999 Elsevier Science Inc. All rights reserved.
Keyword:
brownian motion
fractional brownian motion
stable processes
fractional calculus
diffusion equation
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期刊
IF:
3.4
论文数:
2.3W
被引数:
3.3W
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