Title of article
Abrupt Lévy processes
Author/Authors
Vigon، نويسنده , , Vincent، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
14
From page
155
To page
168
Abstract
Among Lévy processes with unbounded variation, we distinguish the abrupt ones, which are characterised by infinitely sharp extrema. Stable processes with parameter α>1 and creeping Lévy processes are abrupt. We give a characterisation of abrupt processes and study their Dini derivatives at all points of their trajectories.
Keywords
Dini derivatives , Lévy process , trajectories , Wiener–Hopf factorization
Journal title
Stochastic Processes and their Applications
Serial Year
2003
Journal title
Stochastic Processes and their Applications
Record number
1577164
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