Tempered Fractional Stable Motion

Mark M. Meerschaert () and Farzad Sabzikar ()
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Mark M. Meerschaert: Michigan State University
Farzad Sabzikar: Michigan State University

Journal of Theoretical Probability, 2016, vol. 29, issue 2, 681-706

Abstract: Abstract Tempered fractional stable motion adds an exponential tempering to the power-law kernel in a linear fractional stable motion, or a shift to the power-law filter in a harmonizable fractional stable motion. Increments from a stationary time series that can exhibit semi-long-range dependence. This paper develops the basic theory of tempered fractional stable processes, including dependence structure, sample path behavior, local times, and local nondeterminism.

Keywords: Stable process; Fractional calculus; Long-range dependence; Local times; Sample paths; Local nondeterminism; 60G52; 60G17; 60E07 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10959-014-0585-5

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