English

On the Lamperti stable processes

Probability 2008-03-06 v3

Abstract

We consider a new family of Rd\R^d-valued L\'{e}vy processes that we call Lamperti stable. One of the advantages of this class is that the law of many related functionals can be computed explicitely (see for instance \cite{cc}, \cite{ckp}, \cite{kp} and \cite{pp}). This family of processes shares many properties with the tempered stable and the layered stable processes, defined in Rosi\'nski \cite{ro} and Houdr\'e and Kawai \cite{hok} respectively, for instance their short and long time behaviour. Additionally, in the real valued case we find a series representation which is used for sample paths simulation. In this work we find general properties of this class and we also provide many examples, some of which appear in recent literature.

Keywords

Cite

@article{arxiv.0802.0851,
  title  = {On the Lamperti stable processes},
  author = {M. E. Caballero and J. C. Pardo and J. L. Pérez},
  journal= {arXiv preprint arXiv:0802.0851},
  year   = {2008}
}

Comments

6 figures

R2 v1 2026-06-21T10:10:10.153Z