Generalized tempered stable processes
DOI10.4064/BC90-0-10zbMATH Open1210.60048OpenAlexW2334626174MaRDI QIDQ3083392FDOQ3083392
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
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stable processestempered stable distributions and processesLévy processesseries representations of Lévy processes
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52)
Cited In (27)
- Discussion of `On simulation and properties of the stable law' by Devroye and James
- 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
- Parametric estimation of tempered stable laws
- On Lamperti stable processes
- Mean exit time for stochastic dynamical systems driven by tempered stable Lévy fluctuations
- On a new Class of Tempered Stable Distributions: Moments and Regular Variation
- Accuracy of discrete approximation for integral functionals of Markov processes
- Tempered Hermite process
- On the simulation of general tempered stable Ornstein–Uhlenbeck processes
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
- 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
- Multi-modal tempered stable distributions and prosses with applications to finance
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
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