The Levy-Ito Decomposition theorem

J. L. Bretagnolle and P. Ouwehand

Papers from arXiv.org

Abstract: This a free translation with additional explanations of {\em Processus \`a Accroissement Independants Chapitre I: La D\'ecomposition de Paul L\'evy}, by J.L. Bretagnolle, in {\em Ecole d'Et\'e de Probabilit\'es}, Lecture Notes in Mathematics 307, Springer 1973. The L\'evy-Khintchine representation of infinitely divisible distributions is obtained as a by-product. As this proof makes use of martingale methods, it is pedagogically more suitable for students of financial mathematics than some other approaches. It is hoped that the end notes will also help to make the proof more accessible to this audience.

Date: 2015-06
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