Madan, Dilip B.; Wang, King - 2021
Stationary Increment Tempered Fractional Lévy Processes (TFLP) introduced by Boniece, Didier and Sabzikar (2020) are … applied to financial data. They are used to model the stochastic drift rate of a mean reverting equation. The new processes … are called OU processes with a TFLP drift rate. Expressions for the characteristic functions, variance, skewness and …