Tempered infinitely divisible distributions and processes

@inproceedings{Rachev2008TemperedID,
  title={Tempered infinitely divisible distributions and processes},
  author={S. T. Rachev and Young S. Kim and Frank J. Fabozzi},
  year={2008}
}
In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced by in the seminal work of Rosińsky [10], a modification of the tempering function allows one to obtain suitable properties. In particular, TID distributions may have exponential moments of any order and conserve all proper properties of the Rosiński setting. Furthermore, we prove that the modified tempered stable distribution… CONTINUE READING