Mass-conserving tempered fractional diffusion in a bounded interval

Tempered Fractional Stable Motion

Tempered fractional stable motion adds an exponential tempering to the power-law kernel in a linear fractional stable motion, or a shift to the power-law filter in a harmonizable fractional stable motion. Increments from a stationary time series that can exhibit semi-long-range dependence. This paper develops the basic theory of tempered fractional stable processes, including dependence structu...

Tempered fractional calculus

Fractional derivatives and integrals are convolutions with a power law. Multiplying by an exponential factor leads to tempered fractional derivatives and integrals. Tempered fractional diffusion equations, where the usual second derivative in space is replaced by a tempered fractional derivative, govern the limits of random walk models with an exponentially tempered power law jump distribution....

Tempered fractional Brownian motion

Space–time fractional diffusion on bounded domains

On Fractional Tempered Stable Motion

Fractional tempered stable motion (fTSm) is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian but lighter than stable. Moreover, in short time it is close to fractional stable Lévy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for sim...