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Results tagged with pr.probability
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user 40837
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
2
votes
1
answer
759
views
Finding the Levy triplet of a Levy process
I know the levy triplet of a Poisson process
$N_t$- $(0,0,\lambda\delta_{1}(y))$ and its characteristic function is
$\phi_N=exp[-t\Bigl(\intop_{0}^{\infty}(1-e^{iuy}+iuy1_{\{\mathbf{|}\mathbf{y}|< …
- 83
2
votes
0
answers
53
views
Sufficient condition for square root fluctuations of an ergodic sequence
Suppose I have a random sequence $\mathbf{X}=\{X_n\}_{n\in\mathbb{Z}}\subset \mathbb{R}^{\mathbb{Z}}$ that is ergodic with respect to translations. I am interested in a sufficient condition on $\mathb …
- 83
4
votes
3
answers
953
views
simultaneous jumps of independent Levy processes
Suppose I have two independent Levy processes $X_t$ and $Y_t$, both not continuous.
Is anyone familiar and can refer me to a result(or a counterexample) which states that
${\displaystyle \sum_{0\leq …
- 83