On the transition laws of p-tempered α-stable OU-processes

被引：0

作者：

Grabchak, Michael ^{[1
]}

机构：

[1] Univ N Carolina, Charlotte, NC 27599 USA

来源：

COMPUTATIONAL STATISTICS | 2021年 / 36卷 / 02期

基金：

俄罗斯科学基金会;

关键词：

Tempered stable distributions; Ornstein-Uhlenbeck processes; Rejection sampling; INFINITELY DIVISIBLE DISTRIBUTIONS; ORNSTEIN-UHLENBECK PROCESSES;

D O I：

10.1007/s00180-020-01055-2

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：

We derive an explicit representation for the transition law of a p-tempered alpha-stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate cases. Special attention is given to the case where p <= alpha, which is more complicated and requires developing the new class of so-called incomplete gamma distributions.

引用

页码：1415 / 1436

页数：22

共 25 条

[1]

[Anonymous], 1987, MULTIVARIATE STAT SI, DOI DOI 10.1002/9781118150740

[2] Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics [J].