Three upsilon transforms related to tempered stable distributions

DOI10.1214/ECP.V20-4366zbMATH Open1328.60042arXiv1506.04856OpenAlexW3102997424MaRDI QIDQ894510FDOQ894510

Authors: Michael Grabchak 

Publication date: 1 December 2015

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We discuss the properties of three upsilon transforms, which are related to the class of $p$-tempered $alpha$-stable ($T{S}_a^{p}lpha$) distributions. In particular, we characterize their domains and show how they can be represented as compositions of each other. Further, we show that if $$ and $0<q<p<infty$ then they can be used to transform the L'evy measures of $$ distributions into those of $T{S}_a^{q}lpha$.

Full work available at URL: https://arxiv.org/abs/1506.04856

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zbMATH Keywords

tempered stable distributionsupsilon transformstransforms of Lévy measures

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Cited In (1)

• Matrix Subordinators and Related Upsilon Transformations

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