Temporal Change in Distributional Properties of Lévy Processes

Toshiro Watanabe ()
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Toshiro Watanabe: The University of Aizu, Center for Mathematical Sciences

A chapter in Lévy Processes, 2001, pp 89-107 from Springer

Abstract: Abstract Temporal changes in modality and absolute continuity of the distributions of Lévy processes are studied. Examples of Lévy processes whose distributions can have drastic temporal changes from unimodal to multimodal and from continuous and singular to absolutely continuous are given. Conditions on the distributions of Lévy processes to be unimodal at all times or to be absolutely continuous at all times are discussed.

Keywords: Probability Measure; Hausdorff Dimension; Distributional Property; Absolute Continuity; Independent Increment (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_5

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DOI: 10.1007/978-1-4612-0197-7_5

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