Series Representations of Lévy Processes from the Perspective of Point Processes

Jan Rosiński ()
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Jan Rosiński: University of Tennessee, Department of Mathematics

A chapter in Lévy Processes, 2001, pp 401-415 from Springer

Abstract: Abstract Several methods of generating series representations of a Lévy process are presented under a unified approach and a new rejection method is introduced in this context. The connection of such representations with the Lévy-Itô integral representation is precisely established. Four series representations of a gamma process are given as illustrations of these methods.

Keywords: Probability Space; Shot Noise; Series Representation; Poisson Point Process; Gamma Process (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0197-7_18

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DOI: 10.1007/978-1-4612-0197-7_18

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