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Results tagged with levy-processes
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user 103256
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.
1
vote
Monotone convergence theorem for stochastic integrals
Firstly, to give the formal definition of integral wrt Lévy process is necessary for prove the "MCT"(monotone convergence theorem).
Secondary, for the most definitions of stochastic integrals(in path …
- 724
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votes
Accepted
A complex question related to a certain convergence of Lévy measures
At first, we consider an example.
Let
\begin{gather*}
f(x)=\frac{I_{\{x>0\}}(x)}{2x^2(1\vee x^2)}
=\frac{I_{\{(0,1)\}}(x)}{2x^2} + \frac{I_{\{[1,\infty)\}}(x)}{2x^4},\\
\nu(\mathrm{d}x)=f( …
- 724