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arXiv · 2305.15837

Tempered geometric stable distributions and processes

Lorenzo Torricelli
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Abstract

We introduce a notion of geometric tempering using exponentially-dampened Mittag-Leffler tempering functions and closely investigate the univariate case. Characteristic exponents and cumulants are calculated, as well as spectral densities. Absolute continuity relations are shown, and short and long time scaling limits of the associated L\'evy processes analyzed.

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Lorenzo Torricelli. 2023-05-25. Tempered geometric stable distributions and processes. https://arxiv.org/abs/2305.15837

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