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General Υ-transformations

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  • Department of Mathematical Sciences
  • 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.

Original languageEnglish
Place of publicationÅrhus
PublisherThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Number of pages38
Publication statusPublished - 2 Feb 2008

Bibliographical note

Published in Alea (Rio de Janeiro). 2008;4:131-165.

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