Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process

DOI10.1002/MMA.7813MaRDI QIDQ6140809zbMATH OpenOpenAlexFDO

Authors Janusz Gajda

Publication date 2 January 2024

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.7813

zbMATH Keywords

characteristic functionLévy processesOrnstein-Uhlenbeck processtempered \(\alpha\)-stable processtempered fractional derivative

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) General theory of stochastic processes (60G07) Processes with independent increments; Lévy processes (60G51)

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Cites work

• A class of Lévy driven SDEs and their explicit invariant measures
• A generalized hyperbolic model for a risky asset with dependence
• A New Tempered Stable Distribution and Its Application to Finance
• An equilibrium characterization of the term structure
• Brownian motion in a field of force and the diffusion model of chemical reactions
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• On Harnack inequality for \(\alpha\)-stable Ornstein-Uhlenbeck processes
• Ornstein-Uhlenbeck process with non-Gaussian structure
• Statistical tools for finance and insurance.
• Survival models for heterogeneous populations derived from stable distributions
• Tempered fractional calculus
• Tempered stable Lévy motion and transient super-diffusion
• Tempering stable processes
• Term structure models driven by general Lévy processes
• Time-changed Ornstein-Uhlenbeck process

Cited in

(2)

• Free Ornstein--Uhlenbeck processes
• Fractional stochastic differential equations and degree theory: a unified perspective

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