All Questions
1 question with no upvoted or accepted answers
3
votes
0
answers
136
views
An integral involving Levy process with no positive jumps
Let $L_t$ be a Levy process that has no positive jumps, but is not strictly decreasing, i.e
$$
L_t = \gamma t + \sigma B_t + J_t,
$$
where $B_t$ is a Brownian motion, $J_t$ is a pure jump process with ...