On the transition laws of p-tempered $$\alpha $$-stable OU-processes

On the simulation of general tempered stable Ornstein–Uhlenbeck processes

(2020) Michael Grabchak   JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps

(2019) Yan Qu et al.   JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY

Rejection sampling for tempered Lévy processes

(2018) Michael Grabchak   STATISTICS AND COMPUTING

On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes

(2016) Shibin Zhang et al.   JOURNAL OF APPLIED PROBABILITY

On a new Class of Tempered Stable Distributions: Moments and Regular Variation

(2012) Michael Grabchak   JOURNAL OF APPLIED PROBABILITY

Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations

(2011) Reiichiro Kawai et al.   COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION

Tempered Infinitely Divisible Distributions and Processes

(2011) M. L. Bianchi et al.   THEORY OF PROBABILITY AND ITS APPLICATIONS

Do financial returns have finite or infinite variance? A paradox and an explanation

(2010) Michael Grabchak et al.   QUANTITATIVE FINANCE