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arXiv · 2011.09147

Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes

Nicola Cufaro Petroni·Piergiacomo Sabino
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Abstract

Constructing \Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the properties of what will be hereafter called the \emph{a-reminder} of their self-decomposable stationary laws. In the present study we fully characterize the L\'evy triplet of these a-reminder s and we provide a general framework to deduce the transition laws of the finite variation Ornstein-Uhlenbeck processes associated with tempered stable distributions. We focus finally on the subclass of the exponentially-modulated tempered stable laws and we derive the algorithms for an exact generation of the skeleton of Ornstein-Uhlenbeck processes related to such distributions, with the further advantage of adopting a procedure computationally more efficient than those already available in the existing literature.

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Nicola Cufaro Petroni, Piergiacomo Sabino. 2020-11-18. Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. https://arxiv.org/abs/2011.09147

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