Stable Lévy process delayed by tempered stable subordinator

DOI10.1016/J.SPL.2018.09.008zbMath1406.60069OpenAlexW2898068196MaRDI QIDQ1726801

Janusz Gajda, Agnieszka Wyłomańska, Arun Kumar

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.09.008

zbMATH Keywords

subordinationFokker-Planck-Kolmogorov equationtempered stable subordinatorstable Lévy motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Related Items (3)

Tempered relaxation equation and related generalized stable processes ⋮ Feynman-Kac formula for tempered fractional general diffusion equations with nonautonomous external potential ⋮ Large deviations for a class of tempered subordinators and their inverse processes

Cites Work

• On fractional tempered stable processes and their governing differential equations
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• Inverse tempered stable subordinators
• Processes of normal inverse Gaussian type
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• Codifference as a practical tool to measure interdependence
• Two-time scale subordination in physical processes with long-term memory
• Multivariate subordination, self-decomposability and stability
• Lévy Processes and Stochastic Calculus
• On certain self-decomposable distributions
• Financial Modelling with Jump Processes
• Transient anomalous sub-diffusion on bounded domains
• The Variance Gamma Process and Option Pricing
• Diffusion Equation and Stochastic Processes
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