Houdré, C.; Kawai, R. - In: Stochastic Processes and their Applications 116 (2006) 8, pp. 1161-1184
Fractional tempered stable motion (fTSm) is defined and studied. FTSm has the same covariance structure as fractional Brownian motion, while having tails heavier than Gaussian ones but lighter than (non-Gaussian) stable ones. Moreover, in short time it is close to fractional stable Lévy motion,...