On the Lamperti stable processes
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Publication:6208326
arXiv0802.0851MaRDI QIDQ6208326FDOQ6208326
Authors: M. Emilia Caballero, J. C. Pardo, José Luis Pérez Garmendia 
Publication date: 6 February 2008
Abstract: We consider a new family of -valued L'{e}vy processes that we call Lamperti stable. One of the advantages of this class is that the law of many related functionals can be computed explicitely (see for instance cite{cc}, cite{ckp}, cite{kp} and cite{pp}). This family of processes shares many properties with the tempered stable and the layered stable processes, defined in Rosi'nski cite{ro} and Houdr'e and Kawai cite{hok} respectively, for instance their short and long time behaviour. Additionally, in the real valued case we find a series representation which is used for sample paths simulation. In this work we find general properties of this class and we also provide many examples, some of which appear in recent literature.
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)
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