A decomposition for additive functionals of Lévy processes

Motivated by the recent results of Nualart and Xu (2013) concerning limits laws for occupation times of one dimensional symmetric stable processes, this paper proves a decomposition for functionals of one dimensional symmetric Lévy processes under certain conditions on the characteristic exponent and computes the moments of the decomposition.

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Year of publication:	2015
Authors:	Valverde, Luis Acuña
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 3, p. 994-1008
Publisher:	Elsevier
Subject:	Lévy processes \| Characteristic exponent \| Fourier transform \| Weak convergence \| Relativistic stable processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011194145