Pareto Lévy measures and multivariate regular variation
The authors consider regular variation of an \(\mathbb R^d\)-valued Lévy process \(X\) with Lévy measure \(\Pi\), emphasizing the dependence between jumps of its components. By transforming the marginal Lévy measures to those of a standard \(1\)-stable Lévy process, they decouple the marginal Lévy measure from the dependence structure. The dependence between the jumps is modeled by the so-called Pareto Lévy measure. The authors characterize the multivariate regular variation of \(X\) by its one-dimensional marginal Lévy measures and the Pareto Lévy measure.
scientific article; zbMATH DE number 6022666
scientific article