On a fluctuation identity for multidimensional Lévy processes (Q1812492)
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scientific article; zbMATH DE number 1930971
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a fluctuation identity for multidimensional Lévy processes |
scientific article; zbMATH DE number 1930971 |
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On a fluctuation identity for multidimensional Lévy processes (English)
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13 January 2004
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Fluctuation identities for one-dimensional Lévy processes are often called Wiener-Hopf factorizations. The authors prove a fluctuation identity for a multivariate Lévy process using a relevant choice of the approximating compound Poisson process.
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Lévy process
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compound Poisson process
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random walk
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0.9440009
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0.93713987
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0.93641996
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