Generalized Hermite process: Tempering, properties and applications

Héctor Araya

doi:10.1515/mcma-2025-2003

Generalized Hermite process: Tempering, properties and applications

Research output: Contribution to journal › Article › peer-review

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 such that this new process is well defined. Several properties of the process are studied.

Original language	English
Journal	Monte Carlo Methods and Applications
DOIs	https://doi.org/10.1515/mcma-2025-2003
State	Accepted/In press - 2025
Externally published	Yes

Keywords

Non-Gaussian
Wiener chaos
generalized Hermite process
limit theorem
tempering

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10.1515/mcma-2025-2003

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title = "Generalized Hermite process: Tempering, properties and applications",

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 such that this new process is well defined. Several properties of the process are studied.",

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AU - Araya, Héctor

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AB - 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 such that this new process is well defined. Several properties of the process are studied.

KW - Non-Gaussian

KW - Wiener chaos

KW - generalized Hermite process

KW - limit theorem

KW - tempering

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U2 - 10.1515/mcma-2025-2003

DO - 10.1515/mcma-2025-2003

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SN - 0929-9629

JO - Monte Carlo Methods and Applications

JF - Monte Carlo Methods and Applications

ER -

Generalized Hermite process: Tempering, properties and applications

Abstract

Keywords

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