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Generalized Hermite process: Tempering, properties and applications

Author

Listed:
  • Araya Héctor

    (Facultad de Ingeniería y Ciencias, Universidad Adolfo Ibáñez, Santiago, Chile)

Abstract

In this work, we introduce a new process by modifying the kernel in the time domain representation of the generalized Hermite process. This modification is constructed by means of multiplication of the kernel in the time definition of the process by an exponential tempering factor λ > 0 {\lambda>0} such that this new process is well defined. Several properties of the process are studied.

Suggested Citation

  • Araya Héctor, 2025. "Generalized Hermite process: Tempering, properties and applications," Monte Carlo Methods and Applications, De Gruyter, vol. 31(1), pages 75-90.
    • Handle: RePEc:bpj:mcmeap:v:31:y:2025:i:1:p:75-90:n:1006
    DOI: 10.1515/mcma-2025-2003
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