Generalized tempered stable processes

DOI10.4064/BC90-0-10MaRDI QIDQ3083392zbMATH OpenOpenAlexFDO

Authors Jan Rosiński, Jennifer L. Sinclair

Publication date 21 March 2011

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc90-0-10

zbMATH Keywords

stable processestempered stable distributions and processesLévy processesseries representations of Lévy processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52)

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Cited in

(28)

• Discussion of `On simulation and properties of the stable law' by Devroye and James
• On a new class of tempered stable distributions: moments and regular variation
• Tempered positive Linnik processes and their representations
• Modelling tail risk with tempered stable distributions: an overview
• A generalization result regarding the small and large scale behavior of infinitely divisible processes
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• On layered stable processes
• Estimation and simulation for multivariate tempered stable distributions
• Rejection sampling for tempered Lévy processes
• Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
• Approximating Multivariate Tempered Stable Processes
• On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes
• Asymmetrically tempered stable distributions with applications to finance
• Discrete tempered stable distributions
• On Lamperti stable processes
• Tempered Mittag-Leffler Lévy processes
• Parametric estimation of tempered stable laws
• Mean exit time for stochastic dynamical systems driven by tempered stable Lévy fluctuations
• Accuracy of discrete approximation for integral functionals of Markov processes
• Tempered Hermite process
• 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
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing
• Tempering stable processes
• 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
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Multi-modal tempered stable distributions and prosses with applications to finance

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