Existence and estimates of moments for Lévy-type processes

Franziska Kühn

Stochastic Processes and their Applications, 2017, vol. 127, issue 3, 1018-1041

Abstract: In this paper, we establish the existence of moments and moment estimates for Lévy-type processes. We discuss whether the existence of moments is a time dependent distributional property, give sufficient conditions for the existence of moments and prove estimates of fractional moments. Our results apply in particular to SDEs and stable-like processes.

Keywords: Lévy-type processes; Existence of moments; Generalized moments; Fractional moments (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:3:p:1018-1041

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DOI: 10.1016/j.spa.2016.07.008

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