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Fourier multipliers for non-symmetric Lévy processes
Fouriermultiplier process with independent increments martingale transform
2011/2/24
We study Fourier multipliers resulting from martingale transforms of general L´evy processes.
Feller Processes: The Next Generation in Modeling. Brownian Motion, Lévy Processes and Beyond
Feller Processes The Next Generation in Modeling rownian Motion Lévy Processes Beyond
2010/12/13
We present a simple construction method for Feller processes and a framework for the generation of sample paths of Feller processes. The construction is based on state space dependent mixing of L&acut...
In this paper we first consider a risk process in whichclaim inter-arrival times and the time until the first claim havean Erlang (2) distribution. An explicit solution is derived forthe probability o...