All Questions
Tagged with stochastic-calculus levy-processes
9 questions
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$\alpha$ stable processes without jumps
Levy processes with jumps can be formulated following the Levy-kinchkine representation, which provide a decomposition of the characteristic function into three factors corresponding to the diffusion (...
- 305
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58
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Drift of reverse SDE with Lévy processes ($\alpha$ stable distributions)
Given an SDE with a Lévy process with a drift $b(x,t)$ the reverse SDE will have a drift, $\tilde{b}(x,t)$, given by the relation:
$$\tilde{b}(x,t) = - b(x,t) + \int_{\mathbb{R}} y \left( 1 + \frac{...
- 305
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Interpretation of Lévy process with signed Lévy measures
Suppose that I have a non-decreasing, pure jump Lévy process of finite variation $X$ with Lévy measure $\pi$. The Lévy measure is then supported on $(0,+\infty)$. Suppose that the Lévy measure is a ...
- 393
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Definition: Grigelionis Process? [closed]
Background
I've been reading this article and it keeps referring to "Grigelionis processes", which apparently generalize Levy processes. However the paper does not define these object clearly and ...
- 5,405
2
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1
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503
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Stationary Distribution of Langevin Dynamics driven by Lévy Process
Let $f\geq 0$ be a Lipschitz function and let $(L_t)_{t\geq 0}$ be an $\alpha$-stable Lévy process ($0<\alpha<2$, possibly multivariate). Consider the process given by $$dX_t=-\nabla f(X_t)dt+\...
- 2,703
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139
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Lévy measure and jump behaviour of the corresponding Lévy process
Let $(X_t)_{t \ge 0}$ be a Lévy process on $\mathbb R$ with Lévy measure $\nu$.
Define the jump counting measure $N(t, A) = \lvert\{s \in [0, t] \mathrel: \Delta X_s \in A\}\rvert$
where $\Delta X_s$ ...
- 12.9k
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1
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149
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Second moment of stochastic integral wrt Levy Processes
I have a question about the second moment of the integral wrt Levy Processes.
Let Z a Levy processe. We know that:
And a few page later is written that by differentiation of the characteristic ...
- 8,992
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47
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How do we need to argue in this step of the Itō-Lévy-Khintchine decomposition?
Let
$E$ be a $\mathbb R$-Banach space;
$(\Omega,\mathcal A,\operatorname P)$ be a probability space;
$(\mathcal F_t)_{t\ge0}$ be a filtration on $(\Omega,\mathcal A)$;
$(X_t)_{t\ge0}$ be an $E$-...
- 167
2
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356
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Itô Formula for Hilbert space-valued Lévy processes
I know there are Itô formulas for cylindrical Brownian motions with values in a Hilbert space and Itô formulas for Lévy processes in $\mathbb{R}^d$. My question is:
does there exist an Itô formula ...
- 6,045