Bianchi, Michele Leonardo; Rachev, Svetlozar T.; … - Banca d'Italia - 2013
We study the one-dimensional Ornstein-Uhlenbeck (OU) processes with marginal law given by the tempered stable and …, the use of non-Gaussian OU processes is impeded by difficulty in calibration and simulation. Accordingly, we investigate … the law of transition between consecutive observations of OU processes and - with a view to practical applications …