Mozumder, Md. Sharif and Garrido, José (2007) On the Relation Between The Lévy Measure And The Jump Function Of A Lévy Process. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.
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The Lévy and jump measures are two key characteristics of Lévy processes. This paper fills what seems to be a simple gap in the literature, by giving an explicit relation between the jump measure, which is a Poisson random measure, and the L´evy measure. This relation paves the way to a simple proof of the classical result on path continuity of Lévy processes in Section 2.
The jump function in Paul Lévy’s version of the Lévy-Khinchine formula and the Lévy measure in more recent characterizations essentially play the same role, but with different drift and Gaussian components. This point is shown in detail in Section 3, together with an explicit relation between the jump function and the Lévy measure.
|Divisions:||Concordia University > Faculty of Arts and Science > Mathematics and Statistics|
|Item Type:||Monograph (Technical Report)|
|Authors:||Mozumder, Md. Sharif and Garrido, José|
|Series Name:||Department of Mathematics & Statistics. Technical Report No. 2/07|
|Corporate Authors:||Concordia University. Department of Mathematics & Statistics|
|Deposited By:||DIANE MICHAUD|
|Deposited On:||03 Jun 2010 16:07|
|Last Modified:||08 Dec 2010 18:21|
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