On the Transition Laws of $p$-Tempered $\alpha$-Stable OU-Processes
Probability
2020-05-20 v1
Abstract
We derive an explicit representation for the transition law of a -tempered -stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate cases. Special attention is given to the case where , which is more complicated and requires additional care.
Keywords
Cite
@article{arxiv.2005.08953,
title = {On the Transition Laws of $p$-Tempered $\alpha$-Stable OU-Processes},
author = {Michael Grabchak},
journal= {arXiv preprint arXiv:2005.08953},
year = {2020}
}
Comments
arXiv admin note: text overlap with arXiv:1904.06791