On Fractional Tempered Stable Motion

Details On Fractional Tempered Stable Motion On Fractional Tempered Stable Motion

2005-03-31

arxiv.org/abs/math/0503741v1

Mathematics

Probability

25 pages, 6 figures

Scientific paper

Fractional tempered stable motion (fTSm)} is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian but lighter than stable. Moreover, in short time it is close to fractional stable L\'evy motion, while it is approximately fractional Brownian motion in long time. A series representation of fTSm is derived and used for simulation and to study some of its sample path properties.

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