A Weak Approximation for the Extrema's Distributions of Lévy Processes

2017/01/19 by Amir T. Payandeh Najafabadi, Najafabadi, Amir T. Payandeh, Dan Kučerovský +1
Decision Sciences · Economics, Econometrics and Finance · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1701.05466

openalex publication_date 2017/01/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Suppose X_t is a one-dimensional and real-valued Lévy process started from X₀=0, which (\bf 1) its nonnegative jumps measure ν satisfying ∫_{\Bbb R}min\1,x²\ν(dx)

Citations

• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

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