Uwe Küchler, Stefan Tappe
Published 2019-07-11Version 1
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.
Comments: 34 pages
Journal: Stochastic Processes and Their Applications 123(12):4256-4293, 2013
Stable and tempered stable distributions and processes: an overview toward trajectory simulation
Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes
On Approximations of Subordinators in $L^p$ and the Simulation of Tempered Stable Distributions
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