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A nonstandard Lévy-Khintchine formula and Lévy processes

✍ Scribed by Siu Ah Ng

Publisher
Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2008
Tongue
English
Weight
571 KB
Volume
24
Category
Article
ISSN
1439-7617

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📜 SIMILAR VOLUMES

Conditional lévy processes
Conditional lévy processes
✍ E. Çinlar 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 309 KB

These are processes A whose conditional laws, given some driving process X, are those of a process with independent increments. The treatment is limited to such increasing processes A, without assumptions on the law of X. Considering the time T of crossing some fixed threshold value by A, we derive