Tempered stable laws as random walk limits |
| |
Authors: | Arijit Chakrabarty Mark M. Meerschaert |
| |
Affiliation: | a Statistics and Mathematics Unit, Indian Statistical Institute, 7 S.J.S. Sansanwal Marg, New Delhi 110016, Indiab Department of Statistics and Probability, Michigan State University, East Lansing, MI 48824, United States |
| |
Abstract: | Stable laws can be tempered by modifying the Lévy measure to cool the probability of large jumps. Tempered stable laws retain their signature power law behavior at infinity, and infinite divisibility. This paper develops random walk models that converge to a tempered stable law under a triangular array scheme. Since tempered stable laws and processes are useful in statistical physics, these random walk models can provide a basic physical model for the underlying physical phenomena. |
| |
Keywords: | primary 60F05 60E07 |
本文献已被 ScienceDirect 等数据库收录! |
|