Abstract
In the classical analysis many models used to real data description are based on the standard Brownian diffusion-type processes. However, some real data exhibit characteristic periods of constant values. In such cases the popular systems seem not to be applicable. Therefore we propose an alternative approach, based on the combination of the popular Brownian motion with drift (called also the arithmetic Brownian motion) and tempered stable subordinator. The probability density function of the proposed model can be described by a Fokker-Planck type equation and therefore it has many similar properties as the popular Brownian motion with drift. In this paper we propose the estimation procedure for the considered tempered stable subdiffusive arithmetic Brownian motion and calibrate the analyzed process to the real financial data.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
