sorry, it was meant to be (1-s/t)_+ that was a typo...
although I did enter it correctly into Mathematica...
basically what I am looking at is a theorem from the paper "fractional tempered stable motion" and also work from the paper "Integrating volatility clustering into exponential Levy models"which states that a convoluted subordinator is defined as
[tex]X_t = \int_0^t G(t,s)dL(s)[/tex]
which a theorem then states that if [tex]L(s)[/tex] is a tempered stable Levy process the [tex]X_t[/tex] is also tempered stable. where G(t.s) is some kernal of volterra type.
basically, the characteristic function of [tex]X_t[/tex] can then be computed by
[tex]E[e^{i\zeta{X_t}}]=e^{\int_0^t \psi(\zeta G(t,s))ds}[/tex]
where [tex]\psi(\zeta)[/tex] is the cumulant generating function, which for the tempered stable is defined as
[tex]\psi(\zeta)=\gamma\delta-\delta(\gamma^{1/\kappa}-2i\zeta)^{\kappa}[/tex]
now chosing the kernal to be adamped version of the fractional Holmgren-Liouville integral, i.e
[tex]G_H(t,s)=\frac{H+1/2}{E[L(1)]}\left(1-\frac{s}{t}\right)_+^{H-1/2}[/tex]
I am then left with trying to work out the following integral
[tex]\int_0^t \gamma\delta-\delta(\gamma^{1/\kappa}-2i(\zeta\frac{H+1/2}{E[L(1)]}\left(1-\frac{s}{t}\right)_+^{H-1/2}))^{\kappa}ds[/tex]
let [tex]w=\frac{H+1/2}{E[L(1)]}[/tex] and pull out what we can from the front of the integral, I then have
[tex]\gamma\delta{t}-\delta\int_0^t (\gamma^{1/\kappa}-2i\zeta{w}\left(1-\frac{s}{t}\right)_+^{H-1/2})^{\kappa}ds[/tex]
which is what I need to integrate, and is where I am not sure at all where to start...
any reply's, much appreciated.