General Υ-transformations

Ole Eiler Barndorff-Nielsen; Jan Rosinski; Steen Thorbjørnsen

General Υ-transformations

Ole Eiler Barndorff-Nielsen, Jan Rosinski, Steen Thorbjørnsen

Publikation: Working paper/Preprint › Working paper › Forskning

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Abstract

In this paper we introduce a general class of transformations of (all or most of) the class M_L(R^d), of d-dimensional Lévy measures on R^d, into itself. We refer to transformations of this type as Υ transformations (or Upsilon transformations). Closely associated to these are mappings of the set ID(R^d) of all infinitely divisible laws on R^d into itself. In considerable generality, the mappings are one-to-one, regularising and bi-continuous. Furthermore, in many cases the transformations have a stochastic interpretation in terms of stochastic integrals with respect to Lévy processes.

Originalsprog	Engelsk
Udgivelsessted	Århus
Udgiver	Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider	38
Status	Udgivet - 2 feb. 2008

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General Υ-transformations

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