On fractional tempered stable motion

DOI10.1016/j.spa.2006.01.008zbMath1102.60036arXivmath/0503741OpenAlexW2116567839MaRDI QIDQ2507646

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

zbMATH Keywords

Lévy processesfractional Brownian motiontempered stable processes

Mathematics Subject Classification ID

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

Related Items (13)

On fractional tempered stable processes and their governing differential equations ⋮ Parameter estimation for operator scaling random fields ⋮ Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse ⋮ Small and large scale asymptotics of some Lévy stochastic integrals ⋮ On Weighted Tempered Moving Averages Processes ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Higher order fractional stable motion: hyperdiffusion with heavy tails ⋮ Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates ⋮ A general approach to sample path generation of infinitely divisible processes via shot noise representation ⋮ A computationally efficient method for tempered fractional differential equations with application ⋮ The fractional multivariate normal tempered stable process ⋮ GENERALIZED FRACTIONAL LÉVY PROCESSES: A WHITE NOISE APPROACH ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time

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