Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory for applications in statistical analysis. Their power is illustrated by a sustained application of OU processes within the context of finance and econometrics. We construct continuous time stochastic volatility models for financial assets where the volatility processes are superpositions of positive OU processes, and we study these models in relation to financial data and theory.

Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics

Motivated essentially by the success of the applications of the Mittag-Leffler functions in many areas
of science and engineering, the authors present, in a unified manner, a detailed account or rather a brief
survey of the Mittag-Leffler function, generalized Mittag-Leffler functions, Mittag-Leffler type functions,
and their interesting and useful properties. Applications of G. M. Mittag-Leffler functions in certain areas of
physical and applied sciences are also demonstrated. During the last two decades this function has come
into prominence after about nine decades of its discovery by a Swedish Mathematician Mittag-Leffler,
due to the vast potential of its applications in solving the problems of physical, biological, engineering, and
earth sciences, and so forth. In this survey paper, nearly all types of Mittag-Leffler type functions existing in the
literature are presented. An attempt is made to present nearly an exhaustive list of references concerning
the Mittag-Leffler functions to make the reader familiar with the present trend of research in Mittag-Leffler
type functions and their applications.

https://downloads.hindawi.com/journals/jam/2011/298628.pdf

Mittag-Leffler Functions and Their Applications

Tempering stable processes

Motivated essentially by the success of the applications of the Mittag-Leffler functions in many areas of science and engineering, the authors present in a unified manner, a detailed account or rather a brief survey of the Mittag- Leffler function, generalized Mittag-Leffler functions, Mittag-Leffler type functions, and their interesting and useful properties. Applications of Mittag-Leffler functions in certain areas of physical and applied sciences are also demonstrated. During the last two decades this function has come into prominence after about nine decades of its discovery by a Swedish mathematician G.M. Mittag-Leffler, due its vast potential of its applications in solving the problems of physical, biological, engineering and earth sciences etc. In this survey paper, nearly all types of Mittag-Leffler type functions existing in the literature are presented. An attempt is made to present nearly an exhaustive list of references concerning the Mittag-Leffler functions to make the reader familiar with the present trend of research in Mittag-Leffler type functions and their applications.

The purpose of this review article is to give an up to date account of the theory and applications of scale functions for spectrally negative Levy processes. Our review also includes the first extensive overview of how to work numerically with scale functions. Aside from being well acquainted with the general theory of probability, the reader is assumed to have some elementary knowledge of Levy processes, in particular a reasonable understanding of the Levy–Khintchine formula and its relationship to the Levy–Ito decomposition. We shall also touch on more general topics such as excursion theory and semi-martingale calculus. However, wherever possible, we shall try to focus on key ideas taking a selective stance on the technical details. For the reader who is less familiar with some of the mathematical theories and techniques which are used at various points in this review, we note that all the necessary technical background can be found in the following texts on Levy processes; (Bertoin, Levy Processes (1996); Sato, Levy Processes and Infinitely Divisible Distributions (1999); Kyprianou, Introductory Lectures on Fluctuations of Levy Processes and Their Applications (2006); Doney, Fluctuation Theory for Levy Processes (2007)), Applebaum Levy Processes and Stochastic Calculus (2009).

/pdf/the-theory-of-scale-functions-for-spectrally-negative-levy-3djfpbb71f.pdf

The Theory of Scale Functions for Spectrally Negative Lévy Processes

The aim of this monograph is to provide a systematic account of the theory of generalized Gamma convolutions and related classes of probability distributions and densities. Several well-known probability distributions are treated in the accompanying examples.

Lennart Bondesson

Papers

Generalized Gamma Convolutions and Related Classes of Distributions and Densities