On the transition laws of p-tempered $$\alpha $$ α -stable OU-processes

Michael Grabchak ()
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Michael Grabchak: University Of North Carolina Charlotte

Computational Statistics, 2021, vol. 36, issue 2, No 27, 1415-1436

Abstract: Abstract We derive an explicit representation for the transition law of a p-tempered $$\alpha $$ α -stable process of Ornstein–Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate cases. Special attention is given to the case where $$p\le \alpha $$ p ≤ α , which is more complicated and requires developing the new class of so-called incomplete gamma distributions.

Keywords: Tempered stable distributions; Ornstein–Uhlenbeck processes; Rejection sampling (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00180-020-01055-2

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