Related papers: Tempered stable distributions and processes
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Gaussian. More precisely, in short time, it is close to a…
Since the turn of the century, there has been increased interest in the application of heavy-tailed distributions, particularly stable distributions, to problems in physics and finance. Although, the tails of stable distributions provide a…
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous L\'{e}vy processes. With a view of option pricing, we provide a systematic analysis of the existence of…
A definition for elliptical tempered stable distribution, based on the characteristic function, have been explained which involve a unique spectral measure. This definition provides a framework for creating a connection between infinite…
Stable distributions are a celebrated class of probability laws used in various fields. The $\alpha$-stable process, and its exponentially tempered counterpart, the Classical Tempered Stable (CTS) process, are also prominent examples of…
This work defines two classes of processes, that we term {\it tempered fractional multistable motion} and {\it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion,…
We introduce a notion of geometric tempering using exponentially-dampened Mittag-Leffler tempering functions and closely investigate the univariate case. Characteristic exponents and cumulants are calculated, as well as spectral densities.…
In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption leaves place to a semi-heavy tailed distribution. We show that,…
In this paper the running average of a subordinator with a tempered stable distribution is considered. We investigate a family of previously unexplored infinite-activity subordinators induced by the probability distribution of the running…
We introduce a large and flexible class of discrete tempered stable distributions, and analyze the domains of attraction for both this class and the related class of positive tempered stable distributions. Our results suggest that these are…
Products between phase-type distributed random variables and any independent, positive and continuous random variable are studied. Their asymptotic properties are established, and an expectation-maximization algorithm for their effective…
Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. We remedy this by introducing an exact simulation method in…
A tempered version of the discrete Linnik distribution is introduced in order to obtain integer-valued distribution families connected to stable laws. The proposal constitutes a generalization of the well-known Poisson-Tweedie law, which is…
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…
In this article, we study the potential theory of normal tempered stable process which is obtained by time-changing the Brownian motion with a tempered stable subordinator. Precisely, we study the asymptotic behavior of potential density…
We investigate properties of tempered distributions with discrete or countable supports such that their Fourier transforms are distributions with discrete or countable supports as well. We find sufficient conditions for support of the…
In this paper we define the closure under weak convergence of the class of p-tempered {\alpha}-stable distributions. We give necessary and sufficient conditions for convergence of sequences in this class. Moreover, we show that any element…
We discuss one-dimensional stochastic processes defined through the Temperley-Lieb algebra related to the Q=1 Potts model. For various boundary conditions, we formulate a conjecture relating the probability distribution which describes the…
We are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients.