Lévy processes on Hilbert Spaces

Fred Espen Benth and Paul Krühner
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Fred Espen Benth: University of Oslo
Paul Krühner: Vienna University of Economics and Business

Chapter Chapter 2 in Stochastic Models for Prices Dynamics in Energy and Commodity Markets, 2023, pp 27-60 from Springer

Abstract: Abstract We introduce and study Lévy process in Hilbert space. These processes are the basic noise drivers in the forward price dynamics. Explicit constructions based on subordination of Wiener process to define normal inverse Gaussian, stable and variance-gamma Lévy processes with values in Hilbert space are provided.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-031-40367-5_2

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DOI: 10.1007/978-3-031-40367-5_2

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