On fractional tempered stable motion

DOI10.1016/J.SPA.2006.01.008MaRDI QIDQ2507646zbMATH OpenOpenAlexFDO

Authors Christian Houdré, Reiichiro Kawai

Publication date 5 October 2006

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0503741

fractional Brownian motion Lévy processes tempered stable processes

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Abstract: 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 L'evy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for simulation and to study some of its sample path properties.

Review text

The authors define the fractional tempered stable motion (fTSm) as a process of stochastic integrals, i.e. \(\{\int_S f(t,s)dX_s^{TS}\): \(T\in \mathcal{T}\}\), where \(f:\mathcal{T}\times S\to\mathbb{R}\) is a deterministic function, and \(\{X_t^{TS}\): \(t\geq 0\}\) is a tempered stable Lévy process. More precisely, the Lévy measure of \(X_t^{TS}\) has the form \[ \nu(B)=\int_{\mathcal{R}_0^d}\int_0^\infty 1_B(sx)s^{-\alpha-1} e^{-s} ds\rho(dx),\quad B\in \mathcal{B}(\mathbb{R}^n), \] where \(\alpha\in (0,2)\), and the measure \(\rho\) is such that \[ \int_{\mathbb{R}^d_0}\| x\| ^\alpha \rho(dx)<+\infty,\quad \int_{\mathbb{R}^d_0}\| x\| \rho(dx)<+\infty,\;\text{if \(\alpha\in (0,1)\)}, \] and \[ \int_{\mathbb{R}^d_0}\| x\| (1+\ln^+\| x\| ) \rho(dx)<+\infty,\quad \text{if \(\alpha=1\)}. \] Then the fTSm in \(\mathbb{R}\) is given by \[ L_t^H:=\int_0^tK_{H,\alpha}(t,s)dX_s^{TS},\quad t\geq 0, \] where \(K_{H,\alpha}(t,s)\) is some Volterra kernel, depending on parameters \(\alpha\) and \(H\). The integral is defined in \(L^2(\Omega, \mathcal{F}, \mathbb{P})\)-sense. Further, the series representation of fSTm is presented, which is very useful for simulation and the studies the sample path properties. For some range of parameters, fSTm a) has Hölder continuous sample paths, b) is not a semimartingale, c) the sample paths of fSTm are nowhere bounded. Finally, the short and long time behaviour of fSTm is investigated. Under suitable normalization (i.e. short-time or long-time), the fSTm converges in finite-dimensional distributions to so-called fractional stable motion (short-time case), or to fractional Brownian motion (long-time case). Under some restrictions on \(H\) and on the measure \(\rho\) the weak convergence of measures in \(C([0,\infty),\mathbb{R})\) take place.

Recommendations

Cites work

Cited in

(23)

This page was built for publication: On fractional tempered stable motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2507646)