Wyniki wyszukiwania - BazTech

Ograniczanie wyników

1 Probability and Mathematical Statistics

1 2010

Znaleziono wyników: 1

Liczba wyników na stronie

Wyniki wyszukiwania

Sortuj według:

Ogranicz wyniki do:

On Lamperti stable processes

Caballero M. E., Pardo J. C., Pérez J. L.

Probability and Mathematical Statistics

2010

Vol. 30, Fasc. 1

1--28

In this paper, we consider a new family of Rd-valued Lévy processes that we call Lamperti stable. One of the advantages of this class is that the law of many related functionals can be computed explicitly. In the one-dimensional case we provide an explicit form for the characteristic exponent and other several useful properties of the class. This family of processes shares many tractable properties with the tempered stable and the layered stable processes, defined by Rosiński [33] and Houdré and Kawai [16], respectively. We also find a series representation which is used for sample path simulation, illustrated in the case d = 1. Finally, we provide many examples, some of which appear in recent literature.