English

Stable and tempered stable distributions and processes: an overview toward trajectory simulation

Probability 2024-12-10 v1 Computation

Abstract

Stable distributions are a celebrated class of probability laws used in various fields. The α\alpha-stable process, and its exponentially tempered counterpart, the Classical Tempered Stable (CTS) process, are also prominent examples of L\'evy processes. Simulating these processes is critical for many applications, yet it remains computationally challenging, due to their infinite jump activity. This survey provides an overview of the key properties of these objects offering a roadmap for practitioners. The first part is a review of the stability property, sampling algorithms are provided along with numerical illustrations. Then CTS processes are presented, with the Baeumer-Meerschaert algorithm for increment simulation, and a computational analysis is provided with numerical illustrations across different time scales.

Keywords

Cite

@article{arxiv.2412.06374,
  title  = {Stable and tempered stable distributions and processes: an overview toward trajectory simulation},
  author = {Taher Jalal},
  journal= {arXiv preprint arXiv:2412.06374},
  year   = {2024}
}

Comments

25 pages, 6 figures

R2 v1 2026-06-28T20:27:42.436Z