 Tempering stable processesJan Rosinski Stochastic Processes and their Applications, 2007, vol. 117, issue 6, 677-707 Abstract: A tempered stable Lévy process combines both the [alpha]-stable and Gaussian trends. In a short time frame it is close to an [alpha]-stable process while in a long time frame it approximates a Brownian motion. In this paper we consider a general and robust class of multivariate tempered stable distributions and establish their identifiable parametrization. We prove short and long time behavior of tempered stable Lévy processes and investigate their absolute continuity with respect to the underlying [alpha]-stable processes. We find probabilistic representations of tempered stable processes which specifically show how such processes are obtained by cutting (tempering) jumps of stable processes. These representations exhibit [alpha]-stable and Gaussian tendencies in tempered stable processes and thus give probabilistic intuition for their study. Such representations can also be used for simulation. We also develop the corresponding representations for Ornstein-Uhlenbeck-type processes. Keywords: Tempered; stable; distributions; and; processes; Stable; processes; Lévy; processes; Ornstein-Uhlenbeck-type; processes; Shot; noise; representations (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:117:y:2007:i:6:p:677-707 Ordering information: This journal article can be ordered from Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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