Nonstationary self‐similar Gaussian processes as scaling limits of power‐law shot noise processes and generalizations of fractional Brownian motion

Author:

Pang Guodong1ORCID,Taqqu Murad S.2

Affiliation:

1. The Harold and Inge Marcus Department of Industrial and Manufacturing Engineering Pennsylvania State University University Park Pennsylvania

2. Department of Mathematics and Statistics Boston University Boston Massachusetts

Funder

National Science Foundation

Army Research Office

Publisher

Wiley

Subject

General Medicine

Reference59 articles.

1. On Patient Flow in Hospitals: A Data-Based Queueing-Science Perspective

2. On Scaling Limits of Power Law Shot-Noise Fields

3. Brownian semistationary processes and volatility/intermittency;Barndorff‐Nielsen O. E.;Radon Series on Computational and Applied Mathematics,2009

4. Pricing under rough volatility

5. Convergence of Probability Measures

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