scholarly journals On the absolute continuity of Lévy processes with drift

2006 ◽  
Vol 34 (3) ◽  
pp. 1035-1051 ◽  
Author(s):  
Ivan Nourdin ◽  
Thomas Simon
Keyword(s):  
Absolute Continuity ◽  
Lévy Processes ◽  
Levy Processes ◽  
The Absolute

Absolute continuity of distributions of one-dimensional Lévy processes

2017 ◽  
Vol 54 (3) ◽  
pp. 852-872
Author(s):  
Tongkeun Chang
Keyword(s):  
Absolute Continuity ◽  
Lévy Processes ◽  
Levy Processes ◽  
Previous Literature ◽  
One Dimensional ◽  
The Absolute

Abstract In this paper we study the existence of Lebesgue densities of one-dimensional Lévy processes. Equivalently, we show the absolute continuity of the distributions of one-dimensional Lévy processes. Compared with the previous literature, we consider Lévy processes with Lévy symbols of a logarithmic behavior at ∞.

On correlating Lévy processes

2010 ◽  
Vol 13 (1) ◽  
pp. 3-16 ◽  
Author(s):  
Ernst Eberlein ◽  
Dilip Madan
Keyword(s):  
Lévy Processes ◽  
Levy Processes

scholarly journals CLASSICAL MARKOV PROCESSES FROM QUANTUM LÉVY PROCESSES

1999 ◽  
Vol 02 (01) ◽  
pp. 105-129 ◽  
Author(s):  
UWE FRANZ
Keyword(s):  
Markov Process ◽  
Hopf Algebra ◽  
Markov Processes ◽  
Lévy Processes ◽  
Sufficient Conditions ◽  
Markov Property ◽  
Vacuum State ◽  
Levy Processes ◽  
Quantum Process ◽  
Quantum Markov Processes

We show how classical Markov processes can be obtained from quantum Lévy processes. It is shown that quantum Lévy processes are quantum Markov processes, and sufficient conditions for restrictions to subalgebras to remain quantum Markov processes are given. A classical Markov process (which has the same time-ordered moments as the quantum process in the vacuum state) exists whenever we can restrict to a commutative subalgebra without losing the quantum Markov property.8 Several examples, including the Azéma martingale, with explicit calculations are presented. In particular, the action of the generator of the classical Markov processes on polynomials or their moments are calculated using Hopf algebra duality.

On modelling physical systems with stochastic models: diffusion versus Lévy processes

2008 ◽  
Vol 366 (1875) ◽  
pp. 2455-2474 ◽  
Author(s):  
Cécile Penland ◽  
Brian D Ewald
Keyword(s):  
Differential Equations ◽  
Stochastic Models ◽  
Lévy Processes ◽  
Numerical Models ◽  
Gaussian White Noise ◽  
Levy Processes ◽  
Physical Systems ◽  
Random Forcing ◽  
Weather And Climate ◽  
Made In

Stochastic descriptions of multiscale interactions are more and more frequently found in numerical models of weather and climate. These descriptions are often made in terms of differential equations with random forcing components. In this article, we review the basic properties of stochastic differential equations driven by classical Gaussian white noise and compare with systems described by stable Lévy processes. We also discuss aspects of numerically generating these processes.

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