Tempering stable processes

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

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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)

Cites Work

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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
• Simulation of Tempered Stable Lévy Bridges and Its Applications
• Modelling tail risk with tempered stable distributions: an overview
• Codifference as a practical tool to measure interdependence
• A generalization result regarding the small and large scale behavior of infinitely divisible processes
• A generalization of Panjer's recursion and numerically stable risk aggregation
• A stochastic differential equation model with jumps for fractional advection and dispersion
• Classes of infinitely divisible distributions on \(\mathbb R^d\) related to the class of selfdecomposable distributions
• Option pricing in subdiffusive Bachelier model
• 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
• Integer-valued Lévy processes and low latency financial econometrics
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
• Tempered stable structural model in pricing credit spread and credit default swap
• Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution
• A general approach to sample path generation of infinitely divisible processes via shot noise representation
• Irreducibility and exponential mixing of some stochastic hydrodynamical systems driven by pure jump noise
• Thorin classes of Lévy processes and their transforms
• Geometric Brownian motion with tempered stable waiting times
• Small-time sharp bounds for kernels of convolution semigroups
• Forward-looking portfolio selection with multivariate non-Gaussian models
• On the conservativeness and the recurrence of symmetric jump-diffusions
• Realized Laplace transforms for estimation of jump diffusive volatility models
• Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing
• Small deviations of general Lévy processes
• An investigation on continuous time random walk model for bedload transport
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
• Mean exit time for stochastic dynamical systems driven by tempered stable Lévy fluctuations
• An optimization approach to weak approximation of stochastic differential equations with jumps
• Stochastic resonance with multiplicative heavy-tailed Lévy noise: optimal tuning on an algebraic time scale
• Time-changed space-time fractional Poisson process
• Lévy flights in evolutionary ecology
• Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
• Humbert generalized fractional differenced ARMA processes
• Approximations for the distributions of bounded variation Lévy processes
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• A unified construction for series representations and finite approximations of completely random measures
• Mixtures in nonstable Lévy processes
• A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model
• Effect of random time changes on Loewner hulls
• On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
• Two-sided estimates for the transition densities of symmetric Markov processes dominated by stable-like processes in \(C^{1, \eta}\) open sets
• Domains of attraction for positive and discrete tempered stable distributions
• Approximation in law of locally \(\alpha \)-stable Lévy-type processes by non-linear regressions
• Progressive intrinsic ultracontractivity and heat kernel estimates for non-local Schrödinger operators
• On weak generalized stability and \((c,d)\)-pseudostable random variables via functional equations
• Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes

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