Probability measures, Lévy measures and analyticity in time

DOI10.3150/07-BEJ6114zbMath1162.60013arXiv0811.0678OpenAlexW3098669622MaRDI QIDQ1002550

Friedrich Hubalek, Ole Eiler Barndorff-Nielsen

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.0678

zbMATH Keywords

exponential formulasubordinatorsgeneralized gamma convolutionscancellation of singularitiesdensities of infinitely divisible distributions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probabilistic measure theory (60A10)

Related Items (8)

Non-asymptotic control of the cumulative distribution function of Lévy processes ⋮ Multivariate normal \(\alpha\)-stable exponential families ⋮ Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models ⋮ Mixtures of Tempered Stable Subordinators ⋮ Approximations for the distributions of bounded variation Lévy processes ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ Analytical pricing of vulnerable options under a generalized jump-diffusion model ⋮ Probability measures, Lévy measures and analyticity in time

Cites Work

• Reproductive exponential families
• Probability measures, Lévy measures and analyticity in time
• Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure
• Generalized gamma convolutions and related classes of distributions and densities
• Asymptotic behavior of the transition density for jump type processes in small time
• Density in small time at accessible points for jump processes
• Expansion of transition distributions of Lévy processes in small time
• Small-time behaviour of {L}évy processes
• Inversion formula for infinitely divisible distributions
• Subexponentiality and infinite divisibility
• Note On The Continuation Of Infinitely Divisible Distributions And Canonical Measures
• On possible deterioration of smoothness under the operation of convolution
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