Abstract: We consider the first-hitting time of a tempered -stable subordinator, also called inverse tempered stable (ITS) subordinator. The density function of the ITS subordinator is obtained, for the index of stability . The series representation of the ITS density is also obtained, which could be helpful for computational purposes. The asymptotic behaviors of the -th order moments of the ITS subordinator are investigated. In particular, the limiting behaviors of the mean of the ITS subordinator is given. The limiting form of the ITS density, as the space variable , and its -th order derivatives are obtained. The governing PDE for the ITS density is also obtained. The corresponding known results for inverse stable subordinator follow as special cases.
Recommendations
Cites work
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1391236 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Financial Modelling with Jump Processes
- First-exit times of an inverse Gaussian process
- Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
- Numerical computation of first-passage times of increasing Lévy processes
- Tempering stable processes
- The fractional Poisson process and the inverse stable subordinator
- Threshold regression for survival analysis: modeling event times by a stochastic process reaching a boundary
- Transient anomalous sub-diffusion on bounded domains
- Triangular array limits for continuous time random walks
Cited in
(39)- Fractional Poisson processes of order \(k\) and beyond
- Tempered fractional Langevin-Brownian motion with inverse \(\beta\)-stable subordinator
- Non-local solvable birth-death processes
- Time-squeezing and time-expanding transformations in harmonic force fields
- Time-changed Poisson processes of order \(k\)
- Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
- On the infinite divisibility of distributions of some inverse subordinators
- Fractional immigration-death processes
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- On the inverse gamma subordinator
- Fractional Poisson process time-changed by Lévy subordinator and its inverse
- Tempered relaxation equation and related generalized stable processes
- Trade duration risk in subdiffusive financial models
- Large deviations for a class of tempered subordinators and their inverse processes
- On densities of the product, quotient and power of independent subordinators
- Characterization of the inverse stable subordinator
- GARTFIMA process and its empirical spectral density based estimation
- First-exit times of an inverse Gaussian process
- Inverse stable subordinators
- Tempered stable autoregressive models
- Time-non-local Pearson diffusions
- Fractional risk process in insurance
- Cusping, transport and variance of solutions to generalized Fokker–Planck equations
- Asymptotic degeneracy and subdiffusivity
- Lévy processes time-changed by the first-exit time of the inverse Gaussian subordinator
- Tempered Mittag-Leffler Lévy processes
- Bivariate tempered space-fractional Poisson process and shock models
- Inverse tempered stable subordinators and related processes with Mellin transform
- Feynman-Kac formula for tempered fractional general diffusion equations with nonautonomous external potential
- Geometric infinitely divisible autoregressive models
- Stochastic models with mixtures of tempered stable subordinators
- Humbert generalized fractional differenced ARMA processes
- Delayed and rushed motions through time change
- Regularity and asymptotics of densities of inverse subordinators
- Numerical computation of hitting time distributions of increasing Lévy processes
- Feynman-Kac formula for tempered fractional general diffusion equations driven by TFBM
- Applications of inverse tempered stable subordinators
- Stable Lévy process delayed by tempered stable subordinator
- Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes
This page was built for publication: Inverse tempered stable subordinators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q893974)
