Stable Levy Processes via Lamperti-Type Representations

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Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs). This completely new mathematical treatment takes advantage of the fact that the underlying MAP for stable processes can be explicitly described in on...
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Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs). This completely new mathematical treatment takes advantage of the fact that the underlying MAP for stable processes can be explicitly described in on...
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  • Formats: pdf
  • ISBN: 9781108572163
  • Publication Date: 7 Apr 2022
  • Publisher: Cambridge University Press
  • Product language: English
  • Drm Setting: DRM