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math.PR2020
Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes
Nicola Cufaro Petroni, Piergiacomo Sabino
Constructing \Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the prope…
math.PR2020★ 16 cited
Gamma Related Ornstein-Uhlenbeck Processes and their Simulation
Nicola Cufaro Petroni, Piergiacomo Sabino
We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, resp…