Levy process is frequently cited recently. When we come to multidimensional Levy process, the components are usually assumed to be independent. Are there any examples on how to construct a Levy process with some certain dependent structure? I know that with the help of Kolmogorov consistent theorem we can complete the target principally, but no example is available now.
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$\begingroup$ @Xu Lin : I thnik that the subject is somehow treated in R. Cont and P. Tankov's book about Lévy process (with financial application in view). Otherwise a google search with "Lévy Copula" should bring you some interesting results. Best regards $\endgroup$– The BridgeCommented Nov 26, 2012 at 16:27
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$\begingroup$ @The Bridge， thank you very much for you kind help. You are right, in the paper of Cont and Tankov, they brought forward the concept of Levy for construction dependent Levy process. I will read their papers first. $\endgroup$– user33075Commented Apr 13, 2013 at 13:50
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$\begingroup$ I think The Bridge talks about their "book" whose title is "Financial Modelling with Jump Processes" $\endgroup$– HichamCommented Jun 24, 2013 at 9:16
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