Tempered stable distributions and processes

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• 作者：Uwe K¨¹chler ; Stefan Tappe
• 关键词：60E07 ; 60G51
• 刊名：Stochastic Processes and their Applications
• 出版年：2013
• 出版时间：December, 2013
• 年：2013
• 卷：123
• 期：12
• 页码：4256-4293
• 全文大小：364 K

文摘

We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered stable processes, we deal with density transformations and compute their -variation indices. Exponential stock models driven by tempered stable processes are discussed as well.