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Mathematics > Probability

arXiv:1408.3387 (math)
[Submitted on 14 Aug 2014 (v1), last revised 15 Aug 2014 (this version, v2)]

Title:Elliptical Tempered Stable Distribution and Fractional Calculus

Authors:Hassan A. Fallahgoul, Young S. Kim
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Abstract:A definition for elliptical tempered stable distribution, based on the characteristic function, have been explained which involve a unique spectral measure. This definition provides a framework for creating a connection between infinite divisible distribution, and particularly elliptical tempered stable distribution, with fractional calculus. Finally, some analytical approximations for the probability density function of tempered infinite divisible distribution, which elliptical tempered stable distributions are a subclass of them, are considered.
Comments: 16 pages, working paper
Subjects: Probability (math.PR); Mathematical Finance (q-fin.MF)
MSC classes: 60-XX, 35R11, 91Gxx
Cite as: arXiv:1408.3387 [math.PR]
  (or arXiv:1408.3387v2 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1408.3387

Submission history

From: Hassan Fallahgoul [view email]
[v1] Thu, 14 Aug 2014 19:02:01 UTC (14 KB)
[v2] Fri, 15 Aug 2014 10:19:18 UTC (14 KB)
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