On the Transition Laws of $p$-Tempered $α$-Stable OU-Processes (2005.08953v1)

Abstract: We derive an explicit representation for the transition law of a $p$-tempered $\alpha$-stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our results apply in both the univariate and multivariate cases. Special attention is given to the case where $p\le\alpha$, which is more complicated and requires additional care.