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Generalized tempered stable processes

Jan Rosiński, Jennifer L. Sinclair (2010)

Banach Center Publications

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...

Geometric infinite divisibility, stability, and self-similarity: an overview

Tomasz J. Kozubowski (2010)

Banach Center Publications

The concepts of geometric infinite divisibility and stability extend the classical properties of infinite divisibility and stability to geometric convolutions. In this setting, a random variable X is geometrically infinitely divisible if it can be expressed as a random sum of N p components for each p ∈ (0,1), where N p is a geometric random variable with mean 1/p, independent of the components. If the components have the same distribution as that of a rescaled X, then X is (strictly) geometric stable....

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