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On Subordinated Multivariate Gaussian Lévy Processes

✍ Scribed by B. Grigelionis

Publisher
Springer Netherlands
Year
2007
Tongue
English
Weight
373 KB
Volume
96
Category
Article
ISSN
0167-8019

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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