Non-random overshoots of Lévy processes

2013/01/18 by Matija Vidmar, Vidmar, Matija · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Financial Risk and Volatility Modeling #Probability and Risk Models #Stochastic processes and financial applications #math.PR #msc:60G51

paper · pdf · doi:10.48550/arxiv.1301.4463

14 pages

arxiv created 2013/09/23 · arxiv updated 2013/09/24

Abstract

The class of Levy processes for which overshoots are almost surely constant quantities is precisely characterized.

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