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arXiv 2009.02583math.PR
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平均调和稳定从属算子及其应用

Average-tempered stable subordinators with applications

Weixuan Xia

摘要:

本文考虑服从缓和稳定分布的子项的移动平均。我们调查了一个家庭以前未探索的无限活动从属诱导的运行平均过程的概率分布,并确定其跳跃强度的措施。特殊情况下,包括伽玛过程和逆高斯过程进行了讨论。然后,我们推导出易于实现的公式的分布函数,累积量和时刻,以及提供明确的估计,其渐近行为。数值实验表明了所提公式的适用性和有效性。两个重要的扩展的运行平均过程和它的等分布从属检查与具体的应用程序,结构退化建模和金融衍生品定价,在那里他们的优势相对于现有的几个模型一起突出提到欧拉离散化和复合泊松近似技术。

英文摘要:

In this paper the running average of a subordinator with a tempered stable distribution is considered. We investigate a family of previously unexplored infinite-activity subordinators induced by the probability distribution of the running average process and determine their jump intensity measures. Special cases including gamma processes and inverse Gaussian processes are discussed. Then we derive easily implementable formulas for the distribution functions, cumulants, and moments, as well as provide explicit estimates for their asymptotic behaviors. Numerical experiments are conducted for illustrating the applicability and efficiency of the proposed formulas. Two important extensions of the running average process and its equi-distributed subordinator are examined with concrete applications to structural degradation modeling and financial derivatives pricing, where their advantages relative to several existing models are highlighted together with the mention of Euler discretization and compound Poisson approximation techniques.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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