Tempering stable processes
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Publication:885259
DOI10.1016/J.SPA.2006.10.003zbMATH Open1118.60037OpenAlexW1965967625MaRDI QIDQ885259FDOQ885259
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
Recommendations
stable processesOrnstein-Uhlenbeck-type processesshot noise representationstempered stable distributions and processesLévy processes
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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Cited In (only showing first 100 items - show all)
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- Tempered fractional calculus
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- Estimation and simulation for multivariate tempered stable distributions
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- Option pricing and hedging for optimized Lévy driven stochastic volatility models
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- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
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- Parameter estimation for exponentially tempered power law distributions
- Efficiently sampling nested Archimedean copulas
- Ergodic properties of anomalous diffusion processes
- Aging Feynman-Kac equation
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- Tempered space fractional negative binomial process
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- Estimates of tempered stable densities
- Fokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processes
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- Tempered stable Lévy motion and transient super-diffusion
- Numerical methods for SPDEs with tempered stable processes
- Multivariate tempered stable additive subordination for financial models
- Econometric analysis of jump-driven stochastic volatility models
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- Simulation of Tempered Stable Lévy Bridges and Its Applications
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