Some recent results on processes with stationary independent increments

1973 ◽  
pp. 498-515 ◽  
Author(s):  
Takesi Watanabe
Keyword(s):  
Independent Increments

scholarly journals Global sensitivity analysis for stochastic processes with independent increments

2020 ◽  
Vol 62 ◽  
pp. 103098
Author(s):  
Emeline Gayrard ◽  
Cédric Chauvière ◽  
Hacène Djellout ◽  
Pierre Bonnet ◽  
Don-Pierre Zappa
Keyword(s):  
Sensitivity Analysis ◽  
Stochastic Processes ◽  
Global Sensitivity Analysis ◽  
Global Sensitivity ◽  
Independent Increments ◽  
Processes With Independent Increments

QUASI-INVARIANCE FORMULAS FOR COMPONENTS OF QUANTUM LÉVY PROCESSES

2004 ◽  
Vol 07 (01) ◽  
pp. 131-145 ◽  
Author(s):  
UWE FRANZ ◽  
NICOLAS PRIVAULT
Keyword(s):  
Lie Algebras ◽  
Lévy Processes ◽  
Unitary Operator ◽  
Levy Processes ◽  
Absolutely Continuous ◽  
Commutative Subalgebra ◽  
Independent Increments ◽  
Commutative Subalgebras ◽  
Current Representation ◽  
General Method

A general method for deriving Girsanov or quasi-invariance formulas for classical stochastic processes with independent increments obtained as components of Lévy processes on real Lie algebras is presented. Letting a unitary operator arising from the associated factorizable current representation act on an appropriate commutative subalgebra, a second commutative subalgebra is obtained. Under certain conditions the two commutative subalgebras lead to two classical processes such that the law of the second process is absolutely continuous w.r.t. to the first. Examples include the Girsanov formula for Brownian motion as well as quasi-invariance formulas for the Poisson process, the Gamma process,15,16 and the Meixner process.

scholarly journals Utility maximization in models with conditionally independent increments

2010 ◽  
Vol 20 (6) ◽  
pp. 2162-2177 ◽  
Author(s):  
J. Kallsen ◽  
J. Muhle-Karbe
Keyword(s):  
Utility Maximization ◽  
Independent Increments

Characterization of stable processes by identically distributed stochastic integrals

1980 ◽  
Vol 12 (3) ◽  
pp. 689-709 ◽  
Author(s):  
M. Riedel
Keyword(s):  
Stochastic Process ◽  
Stable Process ◽  
Convergence In Probability ◽  
Stochastic Integrals ◽  
Stable Processes ◽  
Process With Independent Increments ◽  
Independent Increments ◽  
The Subject

Let X(t) be a homogeneous and continuous stochastic process with independent increments. The subject of this paper is to characterize the stable process by two identically distributed stochastic integrals formed by means of X(t) (in the sense of convergence in probability). The proof of the main results is based on a modern extension of the Phragmén-Lindelöf theory.

scholarly journals Distributional results for means of normalized random measures with independent increments

2003 ◽  
Vol 31 (2) ◽  
pp. 560-585 ◽  
Author(s):  
Igor Pr�nster ◽  
Antonio Lijoi ◽  
Eugenio Regazzini
Keyword(s):  
Random Measures ◽  
Independent Increments

scholarly journals Preservation of ageing classes in deterioration models with independent increments

2014 ◽  
Vol 2014 (1) ◽  
pp. 200 ◽  
Author(s):  
Carmen Sangüesa ◽  
Francisco Badía ◽  
Ji Cha
Keyword(s):  
Independent Increments
Sign in / Sign up

Export Citation Format

Share Document