Generalized Hermite process: Tempering, properties and applications

Héctor Araya

doi:10.1515/mcma-2025-2003

Generalized Hermite process: Tempering, properties and applications

Héctor Araya

Facultad de Ingeniería y Ciencias

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

Resumen

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.

Idioma original	Inglés
Páginas (desde-hasta)	75-90
Número de páginas	16
Publicación	Monte Carlo Methods and Applications
Volumen	31
N.º	1
DOI	https://doi.org/10.1515/mcma-2025-2003
Estado	Publicada - 1 mar 2025

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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 \{λ>0\} such that this new process is well defined. Several properties of the process are studied.",

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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 {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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DO - 10.1515/mcma-2025-2003

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Generalized Hermite process: Tempering, properties and applications

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