Displaying similar documents to “Identification of periodic and cyclic fractional stable motions”

Semi-additive functionals and cocycles in the context of self-similarity

Vladas Pipiras, Murad S. Taqqu (2010)

Discussiones Mathematicae Probability and Statistics

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Kernel functions of stable, self-similar mixed moving averages are known to be related to nonsingular flows. We identify and examine here a new functional occuring in this relation and study its properties. To prove its existence, we develop a general result about semi-additive functionals related to cocycles. The functional we identify, is helpful when solving for the kernel function generated by a flow. Its presence also sheds light on the previous results on the subject.

Long memory and self-similar processes

Gennady Samorodnitsky (2006)

Annales de la faculté des sciences de Toulouse Mathématiques

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This paper is a survey of both classical and new results and ideas on long memory, scaling and self-similarity, both in the light-tailed and heavy-tailed cases.

Generalized tempered stable processes

Jan Rosiński, Jennifer L. Sinclair (2010)

Banach Center Publications

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This work introduces the class of generalized tempered stable processes which encompass variations on tempered stable processes that have been introduced in the field, including "modified tempered stable processes", "layered stable processes", and "Lamperti stable processes". Short and long time behavior of GTS Lévy processes is characterized and the absolute continuity of GTS processes with respect to the underlying stable processes is established. Series representations of GTS Lévy...

Instability of mixed finite elements for Richards' equation

Březina, Jan

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Richards' equation is a widely used model of partially saturated flow in a porous medium. In order to obtain conservative velocity field several authors proposed to use mixed or mixed-hybrid schemes to solve the equation. In this paper, we shall analyze the mixed scheme on 1D domain and we show that it violates the discrete maximum principle which leads to catastrophic oscillations in the solution.