Some Properties of Laplace Process
Keywords:Fractional process, geometric Brownian motion, long memory, Laplace, L´evy, Ornstein-Uhlenbeck, Rosenblatt and stable processes
Laplace process was introduced in Satheesh (1990) as a possible alternative to Wiener process. Here we discuss some properties of this process viz. correlation, martingales, finite dimensional distributions and sample paths. A review of the rich theoretical developments over Laplace process, driven by data, over the years is also given.
How to Cite
Satheesh S. Some Properties of Laplace Process: Laplace Process. JKSA [Internet]. 2021 Dec. 1 [cited 2023 Jun. 1];32(1):41-50. Available from: https://ojs.ksa.org.in/index.php/JKSA/article/view/38