Tempered infinitely divisible distributions and processes
نویسندگان
چکیده
منابع مشابه
Tempered infinitely divisible distributions and processes
In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced by in the seminal work of Rosińsky [10], a modification of the tempering function allows one to obtain suitable properties. In particular, TID distributions may have exponential moments of any order and conserve all proper prop...
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Svetlozar T. Rachev∗ Chair-Professor, Chair of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe and KIT, and Department of Statistics and Applied Probability, University of California, Santa Barbara, and Chief-Scientist, FinAnalytica INC Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany T...
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ژورنال
عنوان ژورنال: Теория вероятностей и ее применения
سال: 2010
ISSN: 0040-361X
DOI: 10.4213/tvp4176