# Questions tagged [levy-processes]

Theory and applications of Lévy processes (stochastic processes with stationary and independent increments): e.g. path properties, stochastic differential equations driven by jump-type processes, fluctuation theory of Lévy processes, queuing theory.

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### Continuous-time random walk on $\mathbb{R}$ that never stays still

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### Poisson point process in polar coordinates

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### How can we show this estimate for the convolution of two probability measures?

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### If $(\exp(\mu_n))_{n\in\mathbb N}$ is weakly convergent, is the normalized sequence convergent as well?

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### Invariant measures of Levy S.D.Es

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### Characterization of the generator of a Lévy process using martingale problems

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### Is this statement of the Lévy–Khintchine formula ill-posed?

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### Existence of unique convolution semigroups of probability measures on more general spaces then $\mathbb R^d$

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### Existence of a distinguished continuous version of the logarithm of a continuous function

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### Define the convolution root of probability measures on a measurable group

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### If $\mu$ is an infinitely divisible probability measure on $[0,\infty)$, then the Lévy measure of $\mu$ is the vague limit of $n\mu^{*1/n}$

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### Is the distribution of a Banach space valued Lévy process uniquely determined by its characteristic function?

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### If $L_t=\sum_{i=1}^{N_t}Y_i$ is a compound Poisson process, then $\left|\left\{s\in[0,t]:\Delta L_s\in B\right\}\right|=\sum_{i=1}^{N_t}1_B(Y_i)$

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### Generalised central limit theorem with correlated sums

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### An integral involving Levy process with no positive jumps

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### Existence of the differential entropy for infinitely divisible laws

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### Quantiles of a Levy process

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### Characteristic function and moments

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### Hitting order of sets by a Lévy process

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### Identity for stable Lévy subordinator

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### Probability of exiting on the boundary for a monotone Lévy-type process

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### Polynomial growth of random walks: critical values?

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### Is there a name for the sample variance process of a Lévy process?

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### Simulation of Lévy walk

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### escape points of Levy processes

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### Monotone convergence theorem for stochastic integrals

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### A dependent and discrete version of the Komlós-Major-Tusnády theorem

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### Modulus of continuity of Lévy process as jump size tends to zero

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### Orlicz spaces and $\phi$-functions

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### Itô Formula for Hilbert space-valued Lévy processes

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### Version of Donsker-Invariance-Principle

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### Lévy measure and Lévy process

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### Radon-Nikodym for continuous time processes

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### Definition: Grigelionis Process?ch [closed]

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### Besov regularity of càdlàg functions?

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