Constructions of coupling processes for Lévy processes
نویسندگان
چکیده
منابع مشابه
Basics of Lévy Processes *
This is a draft Chapter from a book by the authors on “Lévy Driven Volatility Models”.
متن کاملStochastic Bounds for Lévy Processes
Using the Wiener–Hopf factorization, it is shown that it is possible to bound the path of an arbitrary Lévy process above and below by the paths of two random walks. These walks have the same step distribution, but different random starting points. In principle, this allows one to deduce Lévy process versions of many known results about the large-time behavior of random walks. This is illustrat...
متن کاملRisk bounds of learning processes for Lévy processes
Lévy processes refer to a class of stochastic processes, for example, Poisson processes and Brownian motions, and play an important role in stochastic processes and machine learning. Therefore, it is essential to study risk bounds of the learning process for time-dependent samples drawn from a Lévy process (or briefly called learning process for Lévy process). It is noteworthy that samples in t...
متن کاملNonlinear stochastic integrals for hyperfinite Lévy processes
We develop a notion of nonlinear stochastic integrals for hyperfinite Lévy processes, and use it to find exact formulas for expressions which are intuitively of the form Pt s=0 φ(ω, dls, s) and Qt s=0 ψ(ω, dls, s), where l is a Lévy process. These formulas are then applied to geometric Lévy processes, infinitesimal transformations of hyperfinite Lévy processes, and to minimal martingale measure...
متن کاملLévy processes in free probability.
This is the continuation of a previous article that studied the relationship between the classes of infinitely divisible probability measures in classical and free probability, respectively, via the Bercovici-Pata bijection. Drawing on the results of the preceding article, the present paper outlines recent developments in the theory of Lévy processes in free probability.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2011
ISSN: 0304-4149
DOI: 10.1016/j.spa.2011.02.007