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)
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives
- Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
- Tempered positive Linnik processes and their representations
- On a Lévy process pinned at random time
- Risky asset models with tempered stable fractal activity time
- Estimates of heat kernels of non-symmetric Lévy processes
- On operator fractional Lévy motion: integral representations and time-reversibility
- On high-order schemes for tempered fractional partial differential equations
- A Lagrange-quadratic spline optimal collocation method for the time tempered fractional diffusion equation
- Tempered fractional order compartment models and applications in biology
- Confined random motion with Laplace and Linnik statistics
- Numerical approximations for the tempered fractional Laplacian: error analysis and applications
- Stochastic SIR Lévy jump model with heavy-tailed increments
- The tempered discrete Linnik distribution
- Periodic portfolio revision with transaction costs
- Rejection sampling for tempered Lévy processes
- Some further results on the tempered multistable approach
- Subordinated compound Poisson processes of order \(k\)
- Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
- Large deviations for a class of tempered subordinators and their inverse processes
- Estimation of tempered stable Lévy models of infinite variation
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
- On densities of the product, quotient and power of independent subordinators
- A semi-Markov algorithm for continuous time random walk limit distributions
- Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse
- On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes
- The value of power-related options under spectrally negative Lévy processes
- Nonlocal dynamics in a gene regulatory system with tempered stable Lévy noise
- Beyond monofractional kinetics
- A fully discrete local discontinuous Galerkin method with the generalized numerical flux to solve the tempered fractional reaction-diffusion equation
- High order weak approximation schemes for Lévy-driven SDEs
- Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
- Exponential stock models driven by tempered stable processes
- Option pricing in time-changed Lévy models with compound Poisson jumps
- Multivariate tempered stable random fields
- Cusping, transport and variance of solutions to generalized Fokker–Planck equations
- Asymptotic degeneracy and subdiffusivity
- Discrete tempered stable distributions
- Tempered relaxation with clustering patterns
- Identification and validation of stable ARFIMA processes with application to UMTS data
- A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
- Some properties of the free stable distributions
- Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral
- Tempered fractional Brownian motion: wavelet estimation, modeling and testing
- Moment-based estimation for parameters of general inverse subordinator
- Risk parity for mixed tempered stable distributed sources of risk
- Schauder estimates for degenerate Lévy Ornstein-Uhlenbeck operators
- The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
- Karhunen-Loève expansions of Lévy processes
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes
- Designing cost-efficient inspection schemes for stochastic streamflow environment using an effective Hamiltonian approach
- On a new class of tempered stable distributions: moments and regular variation
- Discussion of `On simulation and properties of the stable law' by Devroye and James
- Approximate self-weighted LAD estimation of discretely observed ergodic Ornstein-Uhlenbeck processes
- Tempered stable distributions. Stochastic models for multiscale processes
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process
- Third-order short-time expansions for close-to-the-money option prices under the CGMY model
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
- Boundary behavior of harmonic functions for truncated stable processes
- Transient anomalous sub-diffusion on bounded domains
- Small ball probabilities for a class of time-changed self-similar processes
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
- Subordination scenario of the Cole-Davidson relaxation
- Realized Laplace transforms for pure-jump semimartingales
- Fractional integrals and extensions of selfdecomposability
- Tempered fractional calculus
- Closed-form option pricing for exponential Lévy models: a residue approach
- 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
- Option pricing and hedging for optimized Lévy driven stochastic volatility models
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Small-time expansions for the transition distributions of Lévy processes
- Generalized tempered stable processes
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
- Asymptotic results for time-changed Lévy processes sampled at hitting times
- Jump-adapted discretization schemes for Lévy-driven SDEs
- The tempered stable process with infinitely divisible inverse subordinators
- Stochastic integration for tempered fractional Brownian motion
- Time-changed Poisson processes
- A New Tempered Stable Distribution and Its Application to Finance
- Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
- Malliavin calculus approach to statistical inference for Lévy driven SDE's
- Importance sampling and statistical Romberg method for Lévy processes
- Asymptotics for exponential Lévy processes and their volatility smile: survey and new results
- Limit theorems and phase transitions for two models of summation of independent identically distributed random variables with a parameter
- High-order short-time expansions for ATM option prices of exponential Lévy models
- Effects of the tempered aging and the corresponding Fokker-Planck equation
- Coupling property and gradient estimates of Lévy processes via the symbol
- Volatility activity: specification and estimation
- Stochastic representation of a fractional subdiffusion equation. The case of infinitely divisible waiting times, Lévy noise and space-time-dependent coefficients
- A note on the existence of transition probability densities of Lévy processes
- Pointwise eigenfunction estimates and intrinsic ultracontractivity-type properties of Feynman-Kac semigroups for a class of Lévy processes
- Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups
- On the existence and position of the farthest peaks of a family of stochastic heat and wave equations
- Tempered stable Lévy motion driven by stable subordinator
- Tempered Mittag-Leffler Lévy processes
- Dynamical behavior of a nonlocal Fokker-Planck equation for a stochastic system with tempered stable noise
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