Characterization of Lévy Processes by a duality formula and related results
- Processes with independent increments are characterized via a duality formula, including Malliavin derivative and difference operators. This result is based on a characterization of infinitely divisible random vectors by a functional equation. A construction of the difference operator by a variational method is introduced and compared to approaches used by other authors for L´evy processes involving the chaos decomposition. Finally we extend our method to characterize infinitely divisible random measures.
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| Author details: | Rüdiger Murr |
|---|---|
| URN: | urn:nbn:de:kobv:517-opus-43538 |
| Publication series (Volume number): | Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2011, 02) |
| Publication type: | Preprint |
| Language: | English |
| Publication year: | 2011 |
| Publishing institution: | Universität Potsdam |
| Release date: | 2011/05/11 |
| RVK - Regensburg classification: | SI 990 |
| Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik |
| DDC classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
| License (German): |  Keine öffentliche Lizenz: Unter Urheberrechtsschutz |
