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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Cited in

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• 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
• Closed-form option pricing for exponential Lévy models: a residue approach
• A simple condition for the multivariate CLT and the attraction to the Gaussian of Lévy processes at long and short times
• OU models based on positive and negative subordinate processes applying in SHIBOR time series analysis and derivative pricing -- through discrete differential method
• Some further results on the tempered multistable approach
• Rejection sampling for tempered Lévy processes
• Periodic portfolio revision with transaction costs
• Option pricing and hedging for optimized Lévy driven stochastic volatility models
• Classes of infinitely divisible distributions and examples
• Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates
• Subordinated compound Poisson processes of order \(k\)
• Regulating stochastic clocks§
• Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution
• Small-time expansions for the transition distributions of Lévy processes
• Rotational invariance of stochastic processes with application to fractional dynamics
• 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
• On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
• A general approach to sample path generation of infinitely divisible processes via shot noise representation
• Generalized tempered stable 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
• Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
• Stochastic integration for tempered fractional Brownian motion
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
• Time-changed Poisson processes
• Large deviations for a class of tempered subordinators and their inverse processes
• Non-symmetric differentially subordinate martingales and sharp weak-type bounds for Fourier multipliers
• The tempered stable process with infinitely divisible inverse subordinators
• On densities of the product, quotient and power of independent subordinators
• Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
• Irreducibility and exponential mixing of some stochastic hydrodynamical systems driven by pure jump noise
• Importance sampling and statistical Romberg method for Lévy processes
• Thorin classes of Lévy processes and their transforms
• Malliavin calculus approach to statistical inference for Lévy driven SDE's

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