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Rosenblatt Laplace Motion

  • Oana Lupaşcu-Stamate
  • Ciprian A. TudorEmail author
Article
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Abstract

Motivated by several works on the modelization of hydraulic conductivity, we introduce the Rosenblatt Laplace motion, by subordinating the Rosenblatt process to an independent Gamma process. We derive the basic properties of this new fractal-type stochastic process and we also make a numerical analysis of it. In particular, we compute numerically its moments and cumulants and we provide a method to simulate its sample paths.

Keywords

fractional Laplace motion Rosenblatt process fractional Brownian motion cumulants subordination Gamma process hydraulic conductivity 

Mathematics Subject Classification

60G07 60G18 60E07 

Notes

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Authors and Affiliations

  1. 1.Institute of Mathematical Statistics and Applied Mathematics of the Romanian AcademyBucharestRomania
  2. 2.Laboratoire Paul PainlevéUniversité de Lille 1Villeneuve d’AscqFrance

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