Inverse tempered stable subordinators and related processes with Mellin transform

Neha Gupta and Arun Kumar

Statistics & Probability Letters, 2022, vol. 186, issue C

Abstract: In this article, the infinite series form of the probability densities of tempered stable and inverse tempered stable subordinators are obtained using Mellin transform. Further, the densities of the products and quotients of stable and inverse stable subordinators are worked out. The asymptotic behaviors of these densities are obtained as x→0+. Similar results for tempered and inverse tempered stable subordinators are discussed. Our results provide alternative methods to find the densities of these subordinators and complement the results available in literature.

Keywords: Stable subordinator; Inverse stable subordinator; Mellin transform; Asymptotic behavior; Tempered stable subordinator (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2022.109465

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