Tempered stable laws as random walk limits
Probability
2011-01-26 v2
Abstract
Stable laws can be tempered by modifying the L\'evy measure to cool the probability of large jumps. Tempered stable laws retain their signature power law behavior at infinity, and infinite divisibility. This paper develops random walk models that converge to a tempered stable law under a triangular array scheme. Since tempered stable laws and processes are useful in statistical physics, these random walk models can provide a basic physical model for the underlying physical phenomena.
Cite
@article{arxiv.1007.3474,
title = {Tempered stable laws as random walk limits},
author = {Arijit Chakrabarty and Mark M. Meerschaert},
journal= {arXiv preprint arXiv:1007.3474},
year = {2011}
}
Comments
To appear in Statistics and Probability Letters