Finite Variation of Fractional Lévy Processes
✍ Scribed by Christian Bender, Alexander Lindner, Markus Schicks
- Book ID
- 113072946
- Publisher
- Springer US
- Year
- 2011
- Tongue
- English
- Weight
- 628 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0894-9840
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
This article links the hyperfinite theory of stochastic integration with respect to certain hyperfinite Lévy processes with the elementary theory of pathwise stochastic integration with respect to pure-jump Lévy processes with finite-variation jump part. Since the hyperfinite Itô integral is also de
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