Tempered Hermite process

Abstract

A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda >0$ such that the process is well defined for Hurst parameter $H>\frac{1}{2}$. A tempered Hermite process is the weak convergence limit of a certain discrete chaos process.

Published at http://dx.doi.org/10.15559/15-VMSTA34 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)

References in corpus (1)

• Generalized Hermite processes, discrete chaos and limit theorems