On the Mean of a Stochastic Integral with Non-Gaussian α-Stable Noise

DOI10.1080/07362990802558337zbMath1173.60019OpenAlexW2119044518MaRDI QIDQ3625461

Zbigniew Michna

Publication date: 5 May 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802558337

zbMATH Keywords

\(\alpha\)-stable Lévy processLévy processseries representation of Lévy processstochastic integral.

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stable stochastic processes (60G52)

Related Items (4)

New characterization of two-state normal distribution ⋮ Generalized Pickands constants and stationary max-stable processes ⋮ Bounds on the suprema of Gaussian processes, and omega results for the sum of a random multiplicative function ⋮ Piterbarg theorems for chi-processes with trend

Cites Work

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• Approximation of a symmetric α-stable Lévy process by a Lévy process with finite moments of all orders
• Lévy-Type Stochastic Integrals with Regularly Varying Tails

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