Two-Parameter Lévy Processes Along Decreasing Paths

Shai Covo ()
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Shai Covo: Bar Ilan University

Journal of Theoretical Probability, 2011, vol. 24, issue 1, 150-169

Abstract: Abstract Let $\{X_{t_{1},t_{2}}:t_{1},t_{2}\geq0\}$ be a two-parameter Lévy process on ℝ d . We study basic properties of the one-parameter process {X x(t),y(t):t∈T} where x and y are, respectively, nondecreasing and nonincreasing nonnegative continuous functions on the interval T. We focus on and characterize the case where the process has stationary increments.

Keywords: Two-parameter Lévy processes; Decreasing paths; Stationary increments; Functional equation; Brownian sheet; Brownian bridge; 60G51; 60G60; 60E07; 60G15 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10959-010-0277-8

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