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Results tagged with levy-processes
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user 501039
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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The inverse gaussian process
I need help. I'm studying Lévy processes and one of the examples is the inverse gaussian process.
Let $(B_t)_{t\geq 0}$ a Brownian motion and define the first passage time
$\tau_s=inf\{t\geq 0: B_t+ct …
- 95
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The Lévy process jumps
I have two questions.
Let $(X_t)_{t\geq 0}$ be a Lévy process with Lévy measure $\nu$. The jump process $\Delta X=\left(\Delta X_t\right)_{t\geq 0}$ is defined by
$\Delta X_t=X_t-X_{t-}$, for every $t …
- 95
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A Lévy process is a semimartingale proof
I have to prove that a Lévy process is a semimartingale.
In general we say that $X$ is a semimartingale if it is an adapted process such that, for each
$t ≥ 0$,
$$X (t) = X (0) + M(t) + C(t)$$
where $ …
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