Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

Cites Work

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On some expansions of stable distribution functions
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Stable distribution and Lévy process in fractal turbulence.

Cited In (only showing first 100 items - show all)

A Galerkin finite element method for the modified distributed-order anomalous sub-diffusion equation
On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
Codifference as a practical tool to measure interdependence
First exit times for Lévy-driven diffusions with exponentially light jumps
FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
Transient anomalous sub-diffusion on bounded domains
The correlation dimension of returns with stochastic volatility
Stock market dynamics
Statistical regularities in the return intervals of volatility
On fractional Lévy processes: tempering, sample path properties and stochastic integration
Finite element method for a symmetric tempered fractional diffusion equation
Trading strategies, feedback control and market dynamics
Tempered fractional calculus
Closed-form option pricing for exponential Lévy models: a residue approach
Exponentially damped Lévy flights
Accounting for risk of non linear portfolios. A novel Fourier approach
Multivariate elliptical truncated moments
Economic fluctuations and statistical physics: the puzzle of large fluctuations
Random matrix models for datasets with fixed time horizons
Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
High order schemes for the tempered fractional diffusion equations
Modeling and simulation of financial returns under non-Gaussian distributions
Existence, uniqueness and numerical analysis of solutions of tempered fractional boundary value problems
Irreducibility and exponential mixing of some stochastic hydrodynamical systems driven by pure jump noise
Barrier options and touch-and-out options under regular Lévy processes of exponential type
Tempered Fractional Sturm--Liouville EigenProblems
On the origins of truncated Lévy flights
Autocorrelation as a source of truncated Lévy flights in foreign exchange rates
The origin of fat-tailed distributions in financial time series
Random integral representations for free-infinitely divisible and tempered stable distributions
Effects of the tempered aging and the corresponding Fokker-Planck equation
Fronts in anomalous diffusion–reaction systems
Animal navigation: General properties of directed walks
Statistical physics and economic fluctuations: do outliers exist?
Intrinsic ultracontractivity and ground state estimates of non-local Dirichlet forms on unbounded open sets
OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
Boundary Problems for the Fractional and Tempered Fractional Operators
Tempered Mittag-Leffler stability of tempered fractional dynamical systems
Truncated Lévy walks and an emerging market economic index
The bounds of heavy-tailed return distributions in evolving complex networks
An investigation on continuous time random walk model for bedload transport
Tempered stable Lévy motion driven by stable subordinator
Trading volume in models of financial derivatives
Numerical Methods for SPDEs with Tempered Stable Processes
Fractal time series -- A tutorial review
Lévy flights in evolutionary ecology
Stochastic processes with power-law stability and a crossover in power-law correlations
A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
On simulation of tempered stable random variates
Third order difference schemes (without using points outside of the domain) for one sided space tempered fractional partial differential equations
Global heat kernel estimates for symmetric jump processes
HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?
Fractional reproduction-dispersal equations and heavy tail dispersal kernels
Sample Path Large Deviations for Order Statistics
Parameter estimation for exponentially tempered power law distributions
Animal navigation: the difficulty of moving in a straight line
Tempering stable processes
PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
Moments for tempered fractional advection-diffusion equations
Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
Stochastic calculus for assets with non-Gaussian price fluctuations
Exponential ergodicity of stochastic Burgers equations driven by \(\alpha\)-stable processes
Transition density estimates for jump Lévy processes
Well-posedness of abstract distributed-order fractional diffusion equations
Heat kernels for reflected diffusions with jumps on inner uniform domains
Multifractal Hurst analysis of crude oil prices
Tempered stable Lévy motion and transient super-diffusion
Applications of inverse tempered stable subordinators
A Langevin dynamics approach to the distribution of animal move lengths
Truncated Lévy statistics for dispersive transport in disordered semiconductors
Similarities and differences between physics and economics
Empirical distributions of stock returns: between the stretched exponential and the power law?
A generalized Fourier transform approach to risk measures
Subdiffusion and ergodicity breaking in heterogeneous environments subject to Lévy noise
Convolution equivalence and infinite divisibility
Exact stationary and non-stationary solutions to inelastic Maxwell model with infinite energy
Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
Tempered positive Linnik processes and their representations
Symmetry/anti-symmetry phase transitions in crude oil markets
Characteristic time scales in the American dollar-Mexican peso exchange currency market
Truncated Lévy flights and generalized Cauchy processes
Generalized entropy approach to stable Lévy distributions with financial application
On high-order schemes for tempered fractional partial differential equations
Monitoring Lévy-process crossovers
Application of computational statistical physics to scale invariance and universality in economic phenomena
A stochastic-statistical residential burglary model with independent Poisson clocks
Tempered fractional order compartment models and applications in biology
Zipf-Mandelbrot scaling law for world track records
A reduced-order extrapolated finite difference iterative method for the Riemann-Liouville tempered fractional derivative equation
A Stochastic-Statistical Residential Burglary Model with Finite Size Effects
New methods of simulating Lévy processes
High-order numerical approximation formulas for Riemann-Liouville (Riesz) tempered fractional derivatives: construction and application (I)
Numerical approximations for the tempered fractional Laplacian: error analysis and applications
Should I stay or should I go? Zero-size jumps in random walks for Lévy flights
Generalized Langevin equation with tempered memory kernel
Understanding the determinants of volatility clustering in terms of stationary Markovian processes
Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
Crossover dynamics from superdiffusion to subdiffusion: models and solutions
Stochastic Optimal Foraging Theory

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