Tempered infinitely divisible distributions and processes

DOI10.1137/S0040585X97984632zbMATH Open1215.60013OpenAlexW2079223104MaRDI QIDQ2998874FDOQ2998874

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

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zbMATH Keywords

stable distributionstempered stable distributionstempered infinitely divisible distributions

Mathematics Subject Classification ID

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

Cited In (31)

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• 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
• Multi-modal tempered stable distributions and prosses with applications to finance
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes

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