Tempered stable laws as random walk limits
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Publication:552989
DOI10.1016/J.SPL.2011.01.019zbMATH Open1225.60028arXiv1007.3474OpenAlexW2105621169MaRDI QIDQ552989FDOQ552989
Authors: Arijit Chakrabarty, Mark M. Meerschaert 
Publication date: 26 July 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: Stable laws can be tempered by modifying the L'evy measure to cool the probability of large jumps. Tempered stable laws retain their signature power law behavior at infinity, and infinite divisibility. This paper develops random walk models that converge to a tempered stable law under a triangular array scheme. Since tempered stable laws and processes are useful in statistical physics, these random walk models can provide a basic physical model for the underlying physical phenomena.
Full work available at URL: https://arxiv.org/abs/1007.3474
Recommendations
Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)
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Cited In (25)
- Generalised fractional evolution equations of Caputo type
- Identifying temperature distribution and source term for generalized diffusion equation with arbitrary memory kernel
- An inverse problem for a two‐dimensional diffusion equation with arbitrary memory kernel
- Stability and convergence of the Crank-Nicolson scheme for a class of variable-coefficient tempered fractional diffusion equations
- Extremal solutions for a class of tempered fractional turbulent flow equations in a porous medium
- A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation
- Tempered fractional calculus
- The tempered stable process with infinitely divisible inverse subordinators
- Stochastic integration for tempered fractional Brownian motion
- Relaxation patterns and semi-Markov dynamics
- Limit theorems and phase transitions for two models of summation of independent identically distributed random variables with a parameter
- Tempered stable Lévy motion driven by stable subordinator
- Uniform exponential dichotomy of stochastic cocycles
- Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
- A numerical method for solutions of tempered fractional differential equations
- Collocation methods for terminal value problems of tempered fractional differential equations
- A matrix splitting preconditioning method for solving the discretized tempered fractional diffusion equations
- Fractional governing equations for coupled random walks
- Two-dimensional Gegenbauer wavelets for the numerical solution of tempered fractional model of the nonlinear Klein-Gordon equation
- A study of a coupled system involving tempered Caputo derivatives with respect to functions
- Domains of attraction for positive and discrete tempered stable distributions
- Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
- Limit theorems and phase transitions for two models of summation of iid random variables depending on parameters
- Stochastic representation of solution to nonlocal-in-time diffusion
- On CSCS-based iteration method for tempered fractional diffusion equations
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