IDEAS home Printed from https://ideas.repec.org/a/spr/aistmt/v51y1999i3p449-462.html
   My bibliography  Save this article

Certain Probabilistic Aspects of Semistable Laws

Author

Listed:
  • Makoto Maejima
  • Gennady Samorodnitsky

Abstract

No abstract is available for this item.

Suggested Citation

  • Makoto Maejima & Gennady Samorodnitsky, 1999. "Certain Probabilistic Aspects of Semistable Laws," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(3), pages 449-462, September.
  • Handle: RePEc:spr:aistmt:v:51:y:1999:i:3:p:449-462
    DOI: 10.1023/A:1003993904386
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1023/A:1003993904386
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1023/A:1003993904386?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401, December.
    2. Rajput, Balram S. & Rama-Murthy, Kavi, 1987. "Spectral representation of semistable processes, and semistable laws on Banach spaces," Journal of Multivariate Analysis, Elsevier, vol. 21(1), pages 139-157, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Makoto Maejima & Riddhi Shah, 2006. "Moments and Projections of Semistable Probability Measures on p-adic Vector Spaces," Journal of Theoretical Probability, Springer, vol. 19(2), pages 447-459, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
    2. Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004. "Simulation of risk processes," Papers 2004,01, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    3. Foad Shokrollahi & Marcin Marcin Magdziarz, 2020. "Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate," Papers 2007.12228, arXiv.org, revised Nov 2020.
    4. Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.
    5. Ortobelli, Sergio & Rachev, Svetlozar & Schwartz, Eduardo, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management qt3zd6q86c, Anderson Graduate School of Management, UCLA.
    6. Michna, Zbigniew, 2008. "Asymptotic behavior of the supremum tail probability for anomalous diffusions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 413-417.
    7. Menn, Christian & Rachev, Svetlozar T., 2005. "A GARCH option pricing model with [alpha]-stable innovations," European Journal of Operational Research, Elsevier, vol. 163(1), pages 201-209, May.
    8. Żaba, Mariusz & Garbaczewski, Piotr & Stephanovich, Vladimir, 2013. "Lévy flights in confining environments: Random paths and their statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(17), pages 3485-3496.
    9. Kim, Panki, 2006. "Weak convergence of censored and reflected stable processes," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1792-1814, December.
    10. Xu, Yong & Feng, Jing & Li, JuanJuan & Zhang, Huiqing, 2013. "Stochastic bifurcation for a tumor–immune system with symmetric Lévy noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 4739-4748.
    11. Nolan, John P., 1998. "Parameterizations and modes of stable distributions," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 187-195, June.
    12. Stoyan Stoyanov & Borjana Racheva-Iotova & Svetlozar Rachev & Frank Fabozzi, 2010. "Stochastic models for risk estimation in volatile markets: a survey," Annals of Operations Research, Springer, vol. 176(1), pages 293-309, April.
    13. Foad Shokrollahi, 2016. "Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs," Papers 1612.06665, arXiv.org, revised Aug 2017.
    14. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    15. Telesca, Luciano & Caggiano, Rosa & Lapenna, Vincenzo & Lovallo, Michele & Trippetta, Serena & Macchiato, Maria, 2008. "The Fisher information measure and Shannon entropy for particulate matter measurements," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(16), pages 4387-4392.
    16. Balram S. Rajput & Kavi Rama-Murthy, 2007. "Uniform Comparison of Tails of (Non-Symmetric) Probability Measures and Their Symmetrized Counterparts with Applications," Journal of Theoretical Probability, Springer, vol. 20(1), pages 87-105, March.
    17. Marcin Magdziarz & Janusz Gajda, 2012. "Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators," HSC Research Reports HSC/12/04, Hugo Steinhaus Center, Wroclaw University of Technology.
    18. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
    19. Weron, Karina & Kotulski, Marcin, 1996. "On the Cole-Cole relaxation function and related Mittag-Leffler distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 232(1), pages 180-188.
    20. Katarzyna Sznajd-Weron & Rafal Weron, 1997. "Evolution in a changing environment," HSC Research Reports HSC/97/01, Hugo Steinhaus Center, Wroclaw University of Technology.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:51:y:1999:i:3:p:449-462. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.