On the Lamperti stable processes

Details On the Lamperti stable processes On the Lamperti stable processes

2008-02-06

arxiv.org/abs/0802.0851v3

Mathematics

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6 figures

Scientific paper

We consider a new family of $\R^d$-valued L\'{e}vy processes that we call Lamperti stable. One of the advantages of this class is that the law of many related functionals can be computed explicitely (see for instance \cite{cc}, \cite{ckp}, \cite{kp} and \cite{pp}). This family of processes shares many properties with the tempered stable and the layered stable processes, defined in Rosi\'nski \cite{ro} and Houdr\'e and Kawai \cite{hok} respectively, for instance their short and long time behaviour. Additionally, in the real valued case we find a series representation which is used for sample paths simulation. In this work we find general properties of this class and we also provide many examples, some of which appear in recent literature.

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