Tempered stable Lévy motion driven by stable subordinator

DOI10.1016/J.PHYSA.2013.03.018zbMath1395.82069OpenAlexW2155763399MaRDI QIDQ1673024

Janusz Gajda, Agnieszka Wyłomańska

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.03.018

zbMATH Keywords

subordinationcalibrationsubdiffusiontempered stable motion

Mathematics Subject Classification ID

Interface problems; diffusion-limited aggregation arising in equilibrium statistical mechanics (82B24)

Related Items (9)

Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system ⋮ American option valuation under time changed tempered stable Lévy processes ⋮ Optimal sizing of the sediment replenishment capacity based on robust ergodic control of subordinator-driven dynamics ⋮ Bivariate sub-Gaussian model for stock index returns ⋮ Pricing foreign equity option under stochastic volatility tempered stable Lévy processes ⋮ Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario ⋮ Applications of inverse tempered stable subordinators ⋮ The tempered stable process with infinitely divisible inverse subordinators ⋮ Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes

Uses Software

• bootlib

Cites Work

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• Geometric Brownian motion with tempered stable waiting times
• Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
• Tempered stable laws as random walk limits
• Tempered stable Lévy motion and transient super-diffusion
• Tempering stable processes
• The empirical characteristic function and its applications
• Comparison of estimators in stable models.
• The jackknife and bootstrap
• Empirical Characteristic Function Estimation and Its Applications
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Diffusion Equation and Stochastic Processes
• The random walk's guide to anomalous diffusion: A fractional dynamics approach

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