Generalized tempered stable processes

• Autorzy: Jan Rosiński , Jennifer L. Sinclair
• Języki publikacji: EN

Abstrakty

EN

This work introduces the class of generalized tempered stable processes which encompass variations on tempered stable processes that have been introduced in the field, including "modified tempered stable processes", "layered stable processes", and "Lamperti stable processes". Short and long time behavior of GTS Lévy processes is characterized and the absolute continuity of GTS processes with respect to the underlying stable processes is established. Series representations of GTS Lévy processes are derived. Such representations can be used for simulation and illustration of GTS processes as well as for their theoretical study.

Kategorie tematyczne

• 60G52: Stable processes
• 60G51: Processes with independent increments; L\'evy processes
• 60F05: Central limit and other weak theorems
• 60E07: Infinitely divisible distributions; stable distributions

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2010
• Tom: 90
• Numer: 1
• Strony: 153-170

Daty

wydano

2010

Twórcy

autor

Jan Rosiński

• Department of Mathematics, University of Tennessee, 1534 Cumberland Ave., Knoxville, TN 37996, USA

autor

Jennifer L. Sinclair

• School of Science and Technology, Georgia Gwinnett College, 1000 University Center Lane, Lawrenceville, GA 30043, USA

Identyfikatory

DOI

10.4064/bc90-0-10