Inverse tempered stable subordinators

A. Kumar and P. Vellaisamy

Statistics & Probability Letters, 2015, vol. 103, issue C, 134-141

Abstract: We consider the first-exit time of a tempered β-stable subordinator, also called inverse tempered stable (ITS) subordinator. An integral form representation and a series representation for the density of the ITS subordinator are obtained. The asymptotic behavior of the q-th order moments of the ITS subordinator are investigated. The limiting form of the ITS density and its k-th order derivatives are derived as the space variable x→0+. Finally, the governing pde of the ITS density is also obtained.

Keywords: Exit-times; Stable subordinators; Tempered stable subordinators; Governing pde’s (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spl.2015.04.010

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