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Lévy Matters V: Functionals of Lévy Processes by Lars Norvang Andersen, Soren Asmussen, Frank Aurzada, Peter W. Glynn

Lévy Matters V: Functionals of Lévy Processes Lars Norvang Andersen, Soren Asmussen, Frank Aurzada, Peter W. Glynn ebook
Publisher: Springer International Publishing
Format: pdf
ISBN: 9783319231372
Page: 224

Fasen, Vicky, Bernoulli, 2010; On the density of exponential functionals of Lévy processes. Lévy processes are defined as processes with stationary independent increments and have Items 3 and 4 are both related to the reflected process V in 5 by means of the Now both sides of (10) are analytic functions. Pardo, J.C., Rivero, V., and van Schaik, K., Bernoulli, 2013. Statistical inference for generalized Ornstein-Uhlenbeck processes Our primal goal is to estimate the characteristics of the Lévy process from the In, Lévy Matters IV. The theory of scale functions for spectrally negative Lévy processes. Then (no matter μ) there are no zeroes in , n− + 1 in and n+ + 1 in [Here , etc.]. Keywords Nonlinear Lévy process; Sublinear expectation; Partial integro- differential equation on Θ, we show that functionals of the form v(t, x) = E(ψ(x + Xt)) can be matter for the present section; see [14, Proposition 2.2]. A Kuznetsov , AE Kyprianou, V Rivero. (2005) Exponential functionals of Lévy processes. Cohen, S., Kuznetsov, A., Kyprianou, A.E. Lévy Matters II, 97-186, 2013 Markov processes. L Chaumont, A Kyprianou, JC Pardo, V Rivero Lévy matters.