Timeline for Levy jump measure vs. Levy measure vs. sum of jumps
Current License: CC BY-SA 3.0
8 events
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| Apr 13, 2017 at 12:58 | history | edited | CommunityBot |
replaced http://mathoverflow.net/ with https://mathoverflow.net/
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| Aug 13, 2011 at 15:38 | comment | added | Grzenio | @Bridge, I tried to provide all the details in the text of the question. Thanks for looking. | |
| Aug 13, 2011 at 15:37 | history | edited | Grzenio | CC BY-SA 3.0 |
Added the formulas I am struggling to link; added 7 characters in body
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| Aug 12, 2011 at 13:13 | comment | added | The Bridge | @Grzenio : If all the versions of the Itô's Lemma you have at your disposal are correct then all those formulations must be equivalent. I think you should edit your post with those versions written explicitly to clarify the issue. Regards | |
| Aug 12, 2011 at 8:06 | comment | added | Grzenio | @Bridge, that is something I got confused about. I saw some versions of Ito's formula that contains the sum over all jumps of some expression involving the function, process and jump size. At the same time I saw a martingale representation theorem which is written using the jump measure. And my Levy process is defined as the triplet, so I have the Levy measure. I am trying to link these three, so that I can figure out when some function of a levy process is a martingale. | |
| Aug 11, 2011 at 22:42 | comment | added | The Bridge | @ Grzenio : Hi what is "sth" exactly representing in your sum ? | |
| Aug 11, 2011 at 14:27 | history | edited | Grzenio | CC BY-SA 3.0 |
added 2 characters in body
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| Aug 11, 2011 at 14:21 | history | asked | Grzenio | CC BY-SA 3.0 |