LAN property for a simple Lévy process

Markov Property of Monotone Lévy Processes

Monotone Lévy processes with additive increments are defined and studied. It is shown that these processes have natural Markov structure and their Markov transition semigroups are characterized using the monotone Lévy-Khintchine formula. 17 Monotone Lévy processes turn out to be related to classical Lévy processes via Attal's " remarkable transformation. " A monotone analogue of the family of e...

New control variates for Lévy process models

We present a general control variate method for Monte Carlo estimation of the expectations of the functionals of Lévy processes. It is based on fast numerical inversion of the cumulative distribution functions and exploits the strong correlation between the increments of the original process and Brownian motion. In the suggested control variate framework, a similar functional of Brownian motion...

Lévy flights from a continuous-time process.

Lévy flight dynamics can stem from simple random walks in a system whose operational time (number of steps n) typically grows superlinearly with physical time t. Thus this process is a kind of continuous-time random walk (CTRW), dual to the typical Scher-Montroll model, in which n grows sublinearly with t. Models in which Lévy flights emerge due to a temporal subordination allow one easily to d...

A Lévy Insurance Risk Process with Taxhansjörg

A Lévy insurance risk process with tax Powered by TCPDF (www.tcpdf.org)

The Simple Control Property of Business Process Models