Concepedia

Tempered Stable Processes

Tempered Stable Processes is a type of Lévy process that belongs to the class of stable processes but is distinguished by exponentially tempering the heavy tails of the stable distribution, thereby ensuring finite moments and enhanced applicability in modeling physical and financial phenomena with semi-heavy tails.

101

Publications

3.8K

Citations

136

Authors

117

Institutions

Publications per year

2017–2026

23

Parents

Publications

101

Tempered stable Lévy motion and transient super-diffusion

Boris Baeumer, Mark M. Meerschaert · Journal of Computational and Applied Mathematics · 2009 · 268 citations

, , +13

Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes

Alexey Kuznetsov · The Annals of Applied Probability · 2010 · 139 citations · Full text

, , +14

Normal Modified Stable Processes

Neil Shephard, Ole E. Barndorff–Nielsen · Oxford University Research Archive (ORA) (University of Oxford) · 2001 · 133 citations · Full text

, , +17

Tempered stable distributions and processes

Uwe Küchler, Stefan Tappe · Stochastic Processes and their Applications · 2013 · 122 citations · Full text

, , +12

Fractional Fokker-Planck equation with tempered<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline"><mml:mi>α</mml:mi></mml:math>-stable waiting times: Langevin picture and computer simulation

Janusz Gajda, Marcin Magdziarz · Physical Review E · 2010 · 109 citations

, , +16

1–5 of 101

Authors

136

  1. FJ
    Frank J. Fabozzi

    Ecole des Hautes Etudes Commerciales du Nord, France

    11 publications · 399 citations

    11

    h-index

  2. AW
    Agnieszka Wyłomańska

    Wrocław University of Science and Technology, Poland

    11 publications · 283 citations

    11

    h-index

  3. YS
    Young Shin Kim

    Stony Brook University, United States

    8 publications · 338 citations

    8

    h-index

  4. RK
    Reiichiro Kawai

    University of Leicester, United Kingdom

    8 publications · 229 citations

    8

    h-index

  5. ML
    Michele Leonardo Bianchi

    Bank of Italy, Italy

    8 publications · 369 citations

    8

    h-index

1–5 of 136

Institutions

117

  1. Wrocław University of Science and Technology

    Wroclaw, Poland

    12 h-index

    28 publications

    929 citations

  2. Institute of Mathematics

    Warsaw, Poland

    11 h-index

    18 publications

    584 citations

  3. Ecole des Hautes Etudes Commerciales du Nord

    Roubaix, France

    8 h-index

    8 publications

    196 citations

  4. Michigan State University

    East Lansing, United States

    7 h-index

    9 publications

    698 citations

  5. Bank of Italy

    Rome, Italy

    6 h-index

    6 publications

    258 citations

  6. Karlsruhe Institute of Technology

    Karlsruhe, Germany

    5 h-index

    8 publications

    293 citations

  7. University of Leicester

    Leicester, United Kingdom

    5 h-index

    5 publications

    173 citations

  8. University of North Carolina at Charlotte

    Charlotte, United States

    4 h-index

    5 publications

    77 citations

1–8 of 117

Venues

  1. Statistics & Probability Letters

    6 publications · 193 citations

    6

    h-index

  2. 4

    h-index

  3. Journal of Statistical Computation and Simulation

    JSCS · 3 publications · 40 citations

    3

    h-index

  4. Quantitative Finance

    3 publications · 39 citations

    3

    h-index

  5. Physical Review E

    PRE · 3 publications · 227 citations

    3

    h-index

1–5