Timeline for Finding the Levy triplet of a Levy process
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Oct 6, 2013 at 14:42 | vote | accept | Ofer | ||
| Oct 6, 2013 at 14:42 | comment | added | Ofer | Yes, thank you!!! for some reason I was convinced that Levy measure of the joint process should be $\delta_{0}(y_{1})\frac{\alpha}{\Gamma(1-\alpha)}y_{2}^{-\alpha-1}dy_{2}$. | |
| Oct 6, 2013 at 11:38 | comment | added | Joris Bierkens | I would try as compensator for the Poisson random measure $\nu(dy) = \delta_0(d y_1) \nu_2(d y_2) + \nu_1(d y_1) \delta_0(d y_2)$. The drift is essentially $b = (b_1, b_2)$, corrected for the changed unit ball ( $1_{\{|y_1| \leq 1\}} 1_{\{|y_2| \leq 1 \}}$ which becomes $1_{\{ ||(y_1, y_2)|| \leq 1 \}}$). Does this work out for you? | |
| Oct 3, 2013 at 16:43 | comment | added | Ofer | Thanks, but how do I find the Levy triplet of $(N_t,D_t)$ - its Levy measure, drift and Gaussian component(which I know is zero since this is a strictly increasing process)? | |
| Oct 3, 2013 at 16:01 | history | answered | Joris Bierkens | CC BY-SA 3.0 |