On the Lamperti stable processes

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dc.creatorCaballero, M. E.
dc.creatorPardo, J. C.
dc.creatorPérez, J. L.
dc.date2008-02-06
dc.date2008-03-06
dc.date.accessioned2026-07-07T09:24:52Z
dc.date.available2026-07-07T09:24:52Z
dc.descriptionWe consider a new family of $\R^d$-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 explicitely (see for instance \cite{cc}, \cite{ckp}, \cite{kp} and \cite{pp}). This family of processes shares many properties with the tempered stable and the layered stable processes, defined in Rosiński \cite{ro} and Houdré and Kawai \cite{hok} respectively, for instance their short and long time behaviour. Additionally, in the real valued case we find a series representation which is used for sample paths simulation. In this work we find general properties of this class and we also provide many examples, some of which appear in recent literature.
dc.description6 figures
dc.identifierhttps://arxiv.org/abs/0802.0851
dc.identifierhttp://arxiv.org/abs/0802.0851
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/156214
dc.subjectProbability
dc.subject60E07, 60G51, 60G52
dc.titleOn the Lamperti stable processes
dc.typetext

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