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Numerical methods for Lévy processes

✍ Scribed by N. Hilber; N. Reich; C. Schwab; C. Winter

Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
617 KB
Volume
13
Category
Article
ISSN
0949-2984

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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