Article ID Journal Published Year Pages File Type
1153077 Statistics & Probability Letters 2013 4 Pages PDF
Abstract
A process in a Euclidean space is called an additive process if it has independent increments. We recall the classical Lévy-Itô representation for additive processes without fixed jumps, and describe how fixed jumps were handled in the classical literature. Our main result is an extended Lévy-Itô formula in which the fixed jumps are expressed in a canonical and convenient form.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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