Tempering stable processes

DOI10.1016/J.SPA.2006.10.003MaRDI QIDQ885259zbMATH OpenOpenAlexFDO

Authors Jan Rosiński

Publication date 8 June 2007

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2006.10.003

zbMATH Keywords

stable processesOrnstein-Uhlenbeck-type processesshot noise representationstempered stable distributions and processesLévy processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

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• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
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• Stochastic Volatility for Lévy Processes
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• Tempered fractional Poisson processes and fractional equations with Z-transform
• On weak generalized stability and \((c,d)\)-pseudostable random variables via functional equations
• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
• Moment-based estimation for parameters of general inverse subordinator
• Asymptotic properties of M-estimator for GARCH(1, 1) model parameters
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• Limit theorems and phase transitions for two models of summation of iid random variables depending on parameters
• The Kramers problem for SDEs driven by small, accelerated Lévy noise with exponentially light jumps
• Learning for infinitely divisible GARCH models in option pricing
• Small and large scale asymptotics of some Lévy stochastic integrals
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• Product rule for vector fractional derivatives
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• The first passage problem for stable linear delay equations perturbed by power law Lévy noise
• Activity signature functions for high-frequency data analysis
• Schauder estimates for degenerate Lévy Ornstein-Uhlenbeck operators
• Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
• Applications of inverse tempered stable subordinators
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• Multi-modal tempered stable distributions and prosses with applications to finance
• Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
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• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
• Numerical methods for SPDEs with tempered stable processes
• Stable Lévy process delayed by tempered stable subordinator
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Econometric analysis of jump-driven stochastic volatility models
• Karhunen-Loève expansions of Lévy processes
• Fast simulation of tempered stable Ornstein-Uhlenbeck processes
• Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach
• Fractional Poisson processes of order \(k\) and beyond
• Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
• Numerical inverse Lévy measure method for infinite shot noise series representation
• Discussion of `On simulation and properties of the stable law' by Devroye and James
• On the approximation of Lévy driven Volterra processes and their integrals
• Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
• Simulation of Tempered Stable Lévy Bridges and Its Applications
• Normal Tempered Stable Processes and the Pricing of Energy Derivatives
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• Tempered stable distributions. Stochastic models for multiscale processes
• On a new class of tempered stable distributions: moments and regular variation
• Goodness-of-fit test for stochastic processes using even empirical moments statistic
• Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
• On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
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• A generalization result regarding the small and large scale behavior of infinitely divisible processes
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• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• Third-order short-time expansions for close-to-the-money option prices under the CGMY model
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• Boundary behavior of harmonic functions for truncated stable processes
• A stochastic differential equation model with jumps for fractional advection and dispersion
• A generalization of Panjer's recursion and numerically stable risk aggregation
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• A Lagrange-quadratic spline optimal collocation method for the time tempered fractional diffusion equation
• Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
• Subordination scenario of the Cole-Davidson relaxation
• Transient anomalous sub-diffusion on bounded domains
• Classes of infinitely divisible distributions on R^d related to the class of selfdecomposable distributions
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• Realized Laplace transforms for pure-jump semimartingales
• Option pricing for stochastic volatility model with infinite activity Lévy jumps
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• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
• Weak well-posedness for a class of degenerate Lévy-driven SDEs with Hölder continuous coefficients
• Integer-valued Lévy processes and low latency financial econometrics
• Lévy measures of infinitely divisible positive processes: examples and distributional identities
• A novel stochastic hepatitis B virus epidemic model with second-order multiplicative \(\alpha\)-stable noise and real data
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• Confined random motion with Laplace and Linnik statistics
• Stochastic SIR Lévy jump model with heavy-tailed increments
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Tempered stable structural model in pricing credit spread and credit default swap
• Numerical approximations for the tempered fractional Laplacian: error analysis and applications
• Tempered fractional calculus
• The tempered discrete Linnik distribution
• Self-stabilizing processes
• Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process
• Multi-scaling limits for relativistic diffusion equations with random initial data
• Estimation and simulation for multivariate tempered stable distributions
• Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps

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