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arXiv · 2005.08953

On the Transition Laws of $p$-Tempered $\alpha$-Stable OU-Processes

Michael Grabchak
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Abstract

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 $p\le\alpha$, which is more complicated and requires additional care.

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Michael Grabchak. 2020-05-16. On the Transition Laws of $p$-Tempered $\alpha$-Stable OU-Processes. https://arxiv.org/abs/2005.08953

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