𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Cramér's estimate for Lévy processes

✍ Scribed by J. Bertoin; R.A. Doney

Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
206 KB
Volume
21
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Cramér–Lundberg approximation for nonlin
Cramér–Lundberg approximation for nonlinearly perturbed risk processes
✍ Mats Gyllenberg; Dmitrii S. Silvestrov 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 129 KB

An extension of the classical Cramér-Lundberg approximation for ruin probabilities to a model of nonlinearly perturbed risk processes is presented. We introduce correction terms for the Cramér-Lundberg and diffusion type approximations, which provide the right asymptotic behaviour of relative errors

A nonparametric Cramér–Rao inequality fo
A nonparametric Cramér–Rao inequality for estimators of statistical functionals
✍ Arnold Janssen 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 269 KB

The present paper introduces a lower bound for the mean quadratic error of estimators of di erentiable statistical functionals. The result can be extended to bilinear covariance forms of vector-valued estimators. The lower bound leads to a concept of Fisher e ciency of estimators for functionals. Th

The Lévy Area Process for the Free Brown
The Lévy Area Process for the Free Brownian Motion
✍ M. Capitaine; C. Donati-Martin 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 162 KB

In this paper, we construct a Le vy area process for the free Brownian motion and in this way, a typical geometric rough path (in the sense of T. Lyons (1998, Rev. Mat. Iberoamer. 14, 215 310)), lying above the free Brownian path. Thus, the general results of Lyons on differential equations driven b