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- A conditional dichotomy theorem for stochastic processes with independent increments
- An integral representation for selfdecomposable banach space valued random variables
- Generalized gamma convolutions and related classes of distributions and densities
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- On series representations of infinitely divisible random vectors
- Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- Stochastic Volatility for Lévy Processes
- The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
Cited in
(only showing first 100 items - show all)- Tempered space fractional negative binomial process
- Domains of attraction for positive and discrete tempered stable distributions
- Moments for tempered fractional advection-diffusion equations
- Progressive intrinsic ultracontractivity and heat kernel estimates for non-local Schrödinger operators
- 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
- Risk parity for mixed tempered stable distributed sources of risk
- Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes
- Transition density estimates for jump Lévy processes
- 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
- Tempered stable Lévy motion and transient super-diffusion
- Product rule for vector fractional derivatives
- Exact simulation of normal tempered stable processes of OU type with applications
- 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
- On the convolution equivalence of tempered stable distributions on the real line
- Multi-modal tempered stable distributions and prosses with applications to finance
- Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
- Multivariate tempered stable additive subordination for financial models
- 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
- Estimation for multivariate normal rapidly decreasing tempered stable distributions
- Existence and uniqueness of solutions for forward and backward nonlocal Fokker-Planck equations with time-dependent coefficients
- 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
- Tempered positive Linnik processes and their representations
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Modelling tail risk with tempered stable distributions: an overview
- Codifference as a practical tool to measure interdependence
- On a Lévy process pinned at random time
- On the infinite divisibility of distributions of some inverse subordinators
- Risky asset models with tempered stable fractal activity time
- Estimates of heat kernels of non-symmetric Lévy processes
- A generalization result regarding the small and large scale behavior of infinitely divisible processes
- Non-asymptotic control of the cumulative distribution function of Lévy processes
- 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
- On operator fractional Lévy motion: integral representations and time-reversibility
- On high-order schemes for tempered fractional partial differential equations
- 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
- Small ball probabilities for a class of time-changed self-similar processes
- 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
- Option pricing in subdiffusive Bachelier model
- Tempered fractional order compartment models and applications in biology
- Realized Laplace transforms for pure-jump semimartingales
- Option pricing for stochastic volatility model with infinite activity Lévy jumps
- American option valuation under time changed tempered stable Lévy processes
- 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
- Fractional integrals and extensions of selfdecomposability
- Average-tempered stable subordinators with applications
- 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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