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DC Field | Value | Language |
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dc.contributor.author | Savy, Nicolas | - |
dc.contributor.author | Vives i Santa Eulàlia, Josep, 1963- | - |
dc.date.accessioned | 2018-09-26T11:54:23Z | - |
dc.date.available | 2018-09-26T11:54:23Z | - |
dc.date.issued | 2017-01 | - |
dc.identifier.issn | 0973-9599 | - |
dc.identifier.uri | http://hdl.handle.net/2445/124835 | - |
dc.description.abstract | A filtered process $X^k$ is defined as an integral of a deterministic kernel $k$ with respect to a stochastic process $X$. One of the main problems to deal with such processes is to define a stochastic integral with respect to them. When $X$ is a Brownian motion one can use the Gaussian properties of $X^k$ to define an integral intrinsically. When $X$ is a jump process or a Levy process, this is not possible. Alternatively, we can use the integrals defined by means of the so called $\mathcal{S}$-transform or by means of the integral with respect to the process $X$ and a linear operator $\mathcal{K}$ constructed from $k$. The usual fact that even for predictable $Y$, $K^{\ast}(Y)$ may not be predictable forces us to consider only anticipative integrals. The aim of this paper is, on the one hand, to clarify the links between these integrals for a given $X$ and on the other hand, to investigate how the Lévy-Itô decomposition of a Levy process $L$, roughly speaking $L=B+J$, where $B$ is a Brownian motion and $J$ is a pure jump Lévy process, behaves with respect to these integrals. | - |
dc.format.extent | 23 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Serials Publications | - |
dc.relation.isformatof | Reproducció del document publicat a: https://www.math.lsu.edu/cosa/11-1-05[543].pdf | - |
dc.relation.ispartof | Communications on Stochastic Analysis, 2017, vol. 11, num. 1, p. 63-85 | - |
dc.rights | (c) Serials Publications, 2017 | - |
dc.source | Articles publicats en revistes (Matemàtiques i Informàtica) | - |
dc.subject.classification | Anàlisi estocàstica | - |
dc.subject.classification | Processos estocàstics | - |
dc.subject.other | Analyse stochastique | - |
dc.subject.other | Stochastic processes | - |
dc.title | Anticipative integrals with respect to a filtered Lévy process and Lévy-Itô decomposition | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 675812 | - |
dc.date.updated | 2018-09-26T11:54:23Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Matemàtiques i Informàtica) |
Files in This Item:
File | Description | Size | Format | |
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675812.pdf | 206.11 kB | Adobe PDF | View/Open |
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