Abrupt Lévy processes

Vincent Vigon

Stochastic Processes and their Applications, 2003, vol. 103, issue 1, 155-168

Abstract: Among Lévy processes with unbounded variation, we distinguish the abrupt ones, which are characterised by infinitely sharp extrema. Stable processes with parameter [alpha]>1 and creeping Lévy processes are abrupt. We give a characterisation of abrupt processes and study their Dini derivatives at all points of their trajectories.

Keywords: Lévy; process; Trajectories; Wiener-Hopf; factorization; Dini; derivatives (search for similar items in EconPapers)
Date: 2003
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