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J-GLOBAL ID：201302238011377077   Reference number：13A1119873

Long-Memory and Features of Fluctuation in A Fractional Generalized Cauchy Process

非整数一般化Cauchy過程におけるゆらぎの長期記憶および特徴

Author (2)： KONNO Hidetoshi (Univ. Tsukuba, Ibaraki, JPN) ,  UCHIYAMA Yusuke (Univ. Tsukuba, Ibaraki, JPN)
Material： Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (CD-ROM)  (Proc ISCIE Int Symp Stoch Syst Theory Appl (CD-ROM))
Volume： 44th  Page： 180-186  Publication year： 2012 
JST Material Number： X0317B  ISSN： 2188-4749  Document type： Proceedings
Article type： 原著論文  Country of issue： Japan (JPN)  Language： ENGLISH (EN)

Thesaurus term： *probability distribution ,  stochastic process ,  *memory (psychology) ,  fractal ,  clustering ,  Fokker-Planck equation ,  *Computer Simulation ,  *fluctuation ,  *Cauchy distribution ,  Volatility Clustering ,  *Long memory ,  modification ,  *computer application ,  *utilization

JST classification (2)： System and control theory in general  (IA02010H) ,  Fluctuation phenomena,random process,Brownian motion,and transport process  (BA08020B)

Reference (8)：

• [1] H. Konno and F. Watanabe: Maximum Likelihood Estimators for Generalized Cauchy Process,J. Math. Phys., 48, 103303 pp.1-13, 2007.
• [2] H. Konno and Y. Tamura: A Generalized Cauchy Process Having Cubic Nonlinearity Rep. on Math. Phys.,67 (2), pp.179-194, 2011.
• [3] H. Konno : On the Exact Solution of a Generalized Polya Process, Advances. Math. Phys., 2010, 504267 pp.1-12, 2010.
• [4] H. Konno: On the Fractal Nature of Fluctuation Associated with the Fractional Poisson Process,Adv. Studies Theor. Phys., 6, pp. 1039-1058, 2012.
• [5] E. Wong: The Construction of A Class of Stationary Markov Processes, Proc. Amer. Math. Soc. Symp. Appl. Math. 16 (1963) pp. 264-276.

Terms in the title (5)： 整数 ,  一般化 ,  過程 ,  ゆらぎ ,  長期記憶