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 {λ>0} such that this new process is well defined. Several properties of the process are studied.
| Original language | English |
|---|---|
| Pages (from-to) | 75-90 |
| Number of pages | 16 |
| Journal | Monte Carlo Methods and Applications |
| Volume | 31 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1 Mar 2025 |
Keywords
- Non-Gaussian
- Wiener chaos
- generalized Hermite process
- limit theorem
- tempering