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Distributional representations and dominance of a Lévy process over its maximal jump processes

Buchmann, Boris; Fan, Yuguang; Maller, Ross A.

Description

Distributional identities for a Lévy process Xt , its quadratic variation process Vt and its maximal jump processes, are derived, and used to make “small time” (as t ↓ 0) asymptotic comparisons between them. The representations are constructed using properties of the underlying Poisson point process of the jumps of X. Apart from providing insight into the connections between X, V , and their maximal jump processes, they enable investigation of a great variety of limiting behaviours. As an...[Show more]

CollectionsANU Research Publications
Date published: 2016-11
Type: Journal article
URI: http://hdl.handle.net/1885/111420
Source: Bernoulli
DOI: 10.3150/15-BEJ731

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