Tempered stable distributions and processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:123

Article

Kuechler, Uwe¹  Tappe, Stefan² 

[1] Humboldt Univ, Inst Math, D-10099 Berlin, Germany

[2] Leibniz Univ Hannover, Inst Math Stochast, D-30167 Hannover, Germany

关键词: Tempered stable distributions and processes;    Limit distributions;    Parameter estimation;    p-variation index;   

DOI  :  10.1016/j.spa.2013.06.012

来源: Elsevier

【 摘 要 】

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 p-variation indices. Exponential stock models driven by tempered stable processes are discussed as well. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free