Tempered stable distributions : stochastic models for multiscale processes

Resource Information

The work Tempered stable distributions : stochastic models for multiscale processes represents a distinct intellectual or artistic creation found in University of Liverpool. This resource is a combination of several types including: Work, Language Material, Books.

Label

Tempered stable distributions : stochastic models for multiscale processes

Title remainder

stochastic models for multiscale processes

Statement of responsibility

Michael Grabchak

Creator

• Grabchak, Michael

Author

• Grabchak, Michael

Subject

• Lévy processes
• Stochastic models
• Distribution (Probability theory)
• Finance

Language

eng

Summary

This brief is concerned with tempered stable distributions and their associated Levy processes. It is a good text for researchers interested in learning about tempered stable distributions.℗l A tempered stable distribution is one which takes a stable distribution and modifies its tails to make them lighter. The motivation for this class comes from the fact that infinite variance stable distributions appear to provide a good fit to data in a variety of situations, but the extremely heavy tails of these models are not realistic for most real world applications. The idea of using distributions that modify the tails of stable models to make them lighter seems to have originated in the influential paper of Mantegna and Stanley (1994). Since then, these distributions have been extended and generalized in a variety of ways. They have been applied to a wide variety of areas including mathematical finance, biostatistics,computer science, and physics

Member of

• Online access with purchase: Springer
• SpringerBriefs in mathematics

Cataloging source

N$T

Dewey number

519.2/4

Index

index present

LC call number

QA273.6

Literary form

non fiction

Nature of contents

• dictionaries
• bibliography

Series statement

• SpringerBriefs in mathematics
• SpringerBriefs in mathematics