Tempered stable distributions. Stochastic models for multiscale processes

DOI10.1007/978-3-319-24927-8MaRDI QIDQ2950356zbMATH OpenOpenAlexFDO

Publication date 8 October 2015

Published in SpringerBriefs in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-24927-8

heavy tails infinitely divisible Lévy process Rosinski measure stable distribution tempered stable truncated Lévy flight

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

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Cited in

(38)

Some further results on the tempered multistable approach
On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes
Exact simulation of normal tempered stable processes of OU type with applications
Fast simulation of tempered stable Ornstein-Uhlenbeck processes
Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
Tempered positive Linnik processes and their representations
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
Discrete tempered stable distributions
On the speed and spectrum of mean-field random walks among random conductances
Modelling tail risk with tempered stable distributions: an overview
Rejection sampling for tempered Lévy processes
Uniform exponential dichotomy of stochastic cocycles
Tempered stable Ornstein– Uhlenbeck processes: A practical view
Tempered infinitely divisible distributions and processes
Large deviations for a class of tempered subordinators and their inverse processes
Estimation and simulation for multivariate tempered stable distributions
Domains of attraction for positive and discrete tempered stable distributions
On a new class of tempered stable distributions: moments and regular variation
A new look at the inverse Gaussian distribution with applications to insurance and economic data
On operator fractional Lévy motion: integral representations and time-reversibility
On the simulation of general tempered stable Ornstein–Uhlenbeck processes
Forward-looking portfolio selection with multivariate non-Gaussian models
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Approximating Multivariate Tempered Stable Processes
Tempered stable laws as random walk limits
Normal Tempered Stable Processes and the Pricing of Energy Derivatives
Tempered stable distributions and processes
A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations
Humbert generalized fractional differenced ARMA processes
Estimation for multivariate normal rapidly decreasing tempered stable distributions
Existence and uniqueness of solutions for forward and backward nonlocal Fokker-Planck equations with time-dependent coefficients
Parametric estimation of tempered stable laws
Radially geometric stable distributions and processes
On approximations of subordinators in L^p and the simulation of tempered stable distributions
Simulating continuous-time autoregressive moving average processes driven by p -tempered α -stable Lévy processes
On the simulation of general multivariate gamma distributions using Dickman approximations
On the simulation of truncated stable distributions: a correction to the literature
An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case

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