On fractional tempered stable motion

C. Houdré and R. Kawai

Stochastic Processes and their Applications, 2006, vol. 116, issue 8, 1161-1184

Abstract: Fractional tempered stable motion (fTSm) is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian ones but lighter than (non-Gaussian) stable ones. Moreover, in short time it is close to fractional stable Lévy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for simulation and to study some of its sample paths properties.

Keywords: Fractional; Brownian; motion; Fractional; tempered; stable; motion; Lévy; processes; Tempered; stable; processes (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (5)

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