On moments and tail behaviors of storage processes
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- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
- Deshmukh, Sudhakar D & Pliska, Stanley R, 1980. "Optimal Consumption and Exploration of Nonrenewable Resources under Uncertainty," Econometrica, Econometric Society, vol. 48(1), pages 177-200, January.
- Sato, Ken-iti & Yamazato, Makoto, 1984. "Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type," Stochastic Processes and their Applications, Elsevier, vol. 17(1), pages 73-100, May.
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- Dai Pra, P. & Pigato, P., 2015. "Multi-scaling of moments in stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3725-3747.
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KeywordsDam process; storage process; subordinator; submultiplicative functions; subexponentialiity;
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-26 (All new papers)
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