Tempered infinitely divisible distributions and processes

DOI10.1137/S0040585X97984632MaRDI QIDQ2998874zbMATH OpenOpenAlexFDO

Authors

Publication date 11 May 2011

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97984632

zbMATH Keywords

stable distributionstempered stable distributionstempered infinitely divisible distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stable stochastic processes (60G52)

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Cited in

(31)

• Discussion of `On simulation and properties of the stable law' by Devroye and James
• Estimation for multivariate normal rapidly decreasing tempered stable distributions
• On a new class of tempered stable distributions: moments and regular variation
• Goodness-of-fit test for stochastic processes using even empirical moments statistic
• Estimation and simulation for multivariate tempered stable distributions
• Rejection sampling for tempered Lévy processes
• Periodic portfolio revision with transaction costs
• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
• On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes
• Random integral representations for free-infinitely divisible and tempered stable distributions
• Limit theorems and phase transitions for two models of summation of independent identically distributed random variables with a parameter
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Exponential stock models driven by tempered stable processes
• TempStable
• Option pricing in time-changed Lévy models with compound Poisson jumps
• Asymmetrically tempered stable distributions with applications to finance
• Tempered stable distributions and processes
• scientific article; zbMATH DE number 6401580 (Why is no real title available?)
• Tempered Hermite process
• Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes
• An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
• On the simulation of general tempered stable Ornstein–Uhlenbeck processes
• The fractional multivariate normal tempered stable process
• A new family of tempered distributions
• Elliptical tempered stable distribution
• Domains of attraction for positive and discrete tempered stable distributions
• Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes
• Learning for infinitely divisible GARCH models in option pricing
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Multi-modal tempered stable distributions and prosses with applications to finance
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes

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