Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153077 | Statistics & Probability Letters | 2013 | 4 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ming Liao,