Inverse tempered stable subordinators

DOI10.1016/J.SPL.2015.04.010zbMATH Open1328.60043arXiv1410.1632OpenAlexW2963175785MaRDI QIDQ893974FDOQ893974

Authors: Arun Kumar, P. Vellaisamy 

Publication date: 23 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

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 $q$-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 $xightarrow0$, and its $k$-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.

Full work available at URL: https://arxiv.org/abs/1410.1632

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zbMATH Keywords

exit timesstable subordinatorsgoverning PDE'stempered stable subordinators

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Tauberian theorems (40E05)

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Cited In (35)

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• On the inverse gamma subordinator
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• Mixtures of Tempered Stable Subordinators
• Tempered relaxation equation and related generalized stable processes
• Large deviations for a class of tempered subordinators and their inverse processes
• Trade duration risk in subdiffusive financial models
• On densities of the product, quotient and power of independent subordinators
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• Tempered fractional Langevin–Brownian motion with inverse β-stable subordinator
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• Tempered Mittag-Leffler Lévy processes
• Solving Multidimensional Fractional Fokker--Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes
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• Feynman-Kac formula for tempered fractional general diffusion equations with nonautonomous external potential
• Geometric infinitely divisible autoregressive models
• Humbert generalized fractional differenced ARMA processes
• Time-changed Poisson processes of order k
• Regularity and asymptotics of densities of inverse subordinators
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• Numerical computation of hitting time distributions of increasing Lévy processes
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• Applications of inverse tempered stable subordinators
• Stable Lévy process delayed by tempered stable subordinator
• Fractional Poisson processes of order \(k\) and beyond

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