Fixed jumps of additive processes

Ming Liao

Statistics & Probability Letters, 2013, vol. 83, issue 3, 820-823

Abstract: A process in a Euclidean space is called an additive process if it has independent increments. We recall the classical Lévy–Itô representation for additive processes without fixed jumps, and describe how fixed jumps were handled in the classical literature. Our main result is an extended Lévy–Itô formula in which the fixed jumps are expressed in a canonical and convenient form.

Keywords: Additive processes; Fixed jumps; Independent increments; Lévy–Itô representation (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.12.003

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