Fixed jumps of additive processes

A process in a Euclidean space is called an additive process if it has independent increments. We recall the classical Lévy–Itô representation for additive processes without fixed jumps, and describe how fixed jumps were handled in the classical literature. Our main result is an extended Lévy–Itô formula in which the fixed jumps are expressed in a canonical and convenient form.

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Year of publication:	2013
Authors:	Liao, Ming
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 3, p. 820-823
Publisher:	Elsevier
Subject:	Additive processes \| Fixed jumps \| Independent increments \| Lévy–Itô representation

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

Persistent link: https://www.econbiz.de/10010616882