On fractional tempered stable motion

被引：24

作者：

Houdre, C. ^{[1
]}

Kawai, R.

机构：

[1] Georgia Inst Technol, Sch Math, Atlanta, GA 30332 USA

[2] Univ Paris 12, CNRS, UMR 8050, Lab Anal & Math Appl, F-94010 Creteil, France

[3] Daiwa Securities SMBC Co Ltd, Proprietary Trading Dept, Koto Ku, Tokyo 1350034, Japan

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2006年 / 116卷 / 08期

关键词：

fractional Brownian motion; fractional tempered stable motion; Levy processes; tempered stable processes;

D O I：

10.1016/j.spa.2006.01.008

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Fractional tempered stable motion (fTSm) is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian ones but lighter than (non-Gaussian) stable ones. Moreover, in short time it is close to fractional stable Levy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for simulation and to study some of its sample paths properties. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：1161 / 1184

页数：24

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