Timeline for Path properties of Levy Processes
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 13, 2012 at 1:43 | comment | added | Yemon Choi | @Hassan: please register so you can merge duplicate accounts | |
| Jun 12, 2012 at 22:45 | answer | added | Paul Jung | timeline score: 2 | |
| Jun 12, 2012 at 4:55 | comment | added | user23254 | @ Yemon Choi, Felipe Olmos, The Bridge: Thanks guys for your help. I already study "Levy Processes & Stochastic Calculus by D. Applebaum", you know this book goes more in details and theory behind Levy - Khintchine... but I'm looking for a reference explaining the properties of paths. For example, I'm working on some application of Levy processes in Finance and insurance so i need some properties of Levy paths... | |
| Jun 8, 2012 at 19:05 | comment | added | The Bridge | @ Hassan : I think that Sato's book is the best reference on the subject. Best regards | |
| Jun 8, 2012 at 10:03 | comment | added | Felipe Olmos | Either Applebaum's or Kyprianou's book should help you: amazon.com/Processes-Stochastic-Calculus-Cambridge-Mathematics/… amazon.com/… Also Kallemberg's "Foundations of Modern Probability" devotes a chapter to infinitely divisible random variables (i.e Levy Kintchine Formula) | |
| Jun 8, 2012 at 6:47 | comment | added | Yemon Choi | Rogers & Williams's 2-volume book would be my first port of call, though I admit I can't remember precisely what they say about Levy-Khintchine | |
| Jun 8, 2012 at 3:20 | history | asked | Hassan | CC BY-SA 3.0 |