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General Υ-transformations

Publikation: Working paperForskning

Dokumenter

  • Institut for Matematiske Fag
  • T.N. Thiele Centre

In this paper we introduce a general class of transformations of (all or most of) the class ML(Rd), of d-dimensional Lévy measures on Rd, 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(Rd) of all infinitely divisible laws on Rd 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.

OriginalsprogEngelsk
UdgivelsesstedÅrhus
UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider38
StatusUdgivet - 2 feb. 2008

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