Three upsilon transforms related to tempered stable distributions

DOI10.1214/ECP.V20-4366MaRDI QIDQ894510zbMATH OpenOpenAlexFDO

Authors Michael Grabchak

Publication date 1 December 2015

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

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

zbMATH Keywords

tempered stable distributionstransforms of Lévy measuresupsilon transforms

Mathematics Subject Classification ID

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

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 $T{S}_a^{q}lpha$.

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Cited in

(1)

• Matrix Subordinators and Related Upsilon Transformations

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