Generalized tempered stable processes

Jan Rosiński, and Jennifer L. Sinclair. "Generalized tempered stable processes." Banach Center Publications 90.1 (2010): 153-170. <http://eudml.org/doc/281880>.

@article{JanRosiński2010,
abstract = {This work introduces the class of generalized tempered stable processes which encompass variations on tempered stable processes that have been introduced in the field, including "modified tempered stable processes", "layered stable processes", and "Lamperti stable processes". Short and long time behavior of GTS Lévy processes is characterized and the absolute continuity of GTS processes with respect to the underlying stable processes is established. Series representations of GTS Lévy processes are derived. Such representations can be used for simulation and illustration of GTS processes as well as for their theoretical study.},
author = {Jan Rosiński, Jennifer L. Sinclair},
journal = {Banach Center Publications},
keywords = {tempered stable distributions and processes; stable processes; Lévy processes; series representations of Lévy processes},
language = {eng},
number = {1},
pages = {153-170},
title = {Generalized tempered stable processes},
url = {http://eudml.org/doc/281880},
volume = {90},
year = {2010},
}

TY - JOUR
AU - Jan Rosiński
AU - Jennifer L. Sinclair
TI - Generalized tempered stable processes
JO - Banach Center Publications
PY - 2010
VL - 90
IS - 1
SP - 153
EP - 170
AB - This work introduces the class of generalized tempered stable processes which encompass variations on tempered stable processes that have been introduced in the field, including "modified tempered stable processes", "layered stable processes", and "Lamperti stable processes". Short and long time behavior of GTS Lévy processes is characterized and the absolute continuity of GTS processes with respect to the underlying stable processes is established. Series representations of GTS Lévy processes are derived. Such representations can be used for simulation and illustration of GTS processes as well as for their theoretical study.
LA - eng
KW - tempered stable distributions and processes; stable processes; Lévy processes; series representations of Lévy processes
UR - http://eudml.org/doc/281880
ER -