Related papers: Tempered stable distributions and processes

We propose a new statistical observation scheme of diffusion processes named convolutional observation, where it is possible to deal with smoother observation than ordinary diffusion processes by considering convolution of diffusion…

Stochastic processes that are randomly reset to an initial condition serve as a showcase to investigate non-equilibrium steady states. However, all existing results have been restricted to the special case of memoryless resetting protocols.…

We consider Stochastic Volatility processes with heavy tails and possible long memory in volatility. We study the limiting conditional distribution of future events given that some present or past event was extreme (i.e. above a level which…

In this paper, we abstract a kind of stochastic processes from evolving processes of growing networks, this process is called growing network Markov chains. Thus the existence and the formulas of degree distribution are transformed to the…

We introduce three models of fragmentation in which the largest fragment in the system can be broken at each time step with a fixed probability, p. We solve these models exactly in the long time limit to reveal stable time invariant…

In this study we consider the pricing of energy derivatives when the evolution of spot prices is modeled with a normal tempered stable driven Ornstein-Uhlenbeck process. Such processes are the generalization of normal inverse Gaussian…

We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…

The class of $\alpha$-stable distributions with a wide range of applications in economics, telecommunications, biology, applied, and theoretical physics. This is due to the fact that it possesses both the skewness and heavy tails. Since…

By using concrete scenarios, we present and discuss a new concept of probabilistic Self-Stabilization in Distributed Systems.

A generalization of a distribution increases the flexibility particularly in studying of a phenomenon and its properties. Many generalizations of continuous univariate distributions are available in literature. In this study, an…

We continue to develop a new approach to description of charge kinetics in disordered semiconductors. It is based on fractional diffusion equations. This article is devoted to transient processes in structures under dispersive transport…

After collecting data from observations or experiments, the next step is to build an appropriate mathematical or stochastic model to describe the data so that further studies can be done with the help of the models. In this article, the…

The topological nature of the disorder of glasses and supercooled liquids strongly affects their high-frequency dynamics. In order to understand its main features, we analytically studied a simple topologically disordered model, where the…

We derive an explicit representation for the transition law of a $p$-tempered $\alpha$-stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate…

By combining different ideas, a general and efficient protocol to deal with discontinuous phase transitions at low temperatures is proposed. For small $T$'s, it is possible to derive a generic analytic expression for appropriate order…

We provide series expansions for the tempered stable densities and for the price of European-style contracts in the exponential L\'evy model driven by the tempered stable process. These formulas recover several popular option pricing…

In this article, the exponentiated discrete Lindley distribution is presented and studied. Some important distributional properties are discussed. Using the maximum likelihood method, estimation of the model parameters is investigated.…

A class of discrete distributions can be derived from stationary renewal processes. They have the useful property that the mean is a simple function of the model parameters. Thus regressions of the distribution mean on covariates can be…

In this article, we derive the state probabilities of different type of space- and time-fractional Poisson processes using z-transform. We work on tempered versions of time-fractional Poisson process and space-fractional Poisson processes.…

In this paper a randomized version of the Beverton-Holt type discrete model is proposed. Its solution stochastic process and the random steady state are determined. Its first probability density function and second probability density…