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Apr
2
awarded  Yearling
Mar
23
awarded  Popular Question
Mar
22
asked Activity of $\Gamma$-type OU process.
Mar
17
comment Is this simply assuming an Ito semimartingale.
@saz Yea. That is the same as I have seen, so it looks kind of similar, but on the other hand also strange.
Mar
17
revised Is this simply assuming an Ito semimartingale.
added 280 characters in body
Mar
16
awarded  Popular Question
Mar
16
comment Is this simply assuming an Ito semimartingale.
Exactly! I was hoping you would pick up the question :)
Mar
16
asked Is this simply assuming an Ito semimartingale.
Mar
4
comment Intuition behind a set of a assumptions about Lévy processes.
Sorry to wake up an old question. Is there something clever to say about the density assumption? I have a hard time getting a feel for what type of assumption that is on the actual process.
Feb
18
accepted Intuition behind a set of a assumptions about Lévy processes.
Feb
18
comment Intuition behind a set of a assumptions about Lévy processes.
Thank you for the very enlightening answer, the assumptions are indeed much less mysterious now - but I'll have to see if I can find where the last guy is used though.
Feb
18
revised Intuition behind a set of a assumptions about Lévy processes.
added 8 characters in body
Feb
17
accepted Blumenthal-Getoor index for IG and $\Gamma$
Feb
17
comment Blumenthal-Getoor index for IG and $\Gamma$
@saz Thanks for pointing out - please see edit.
Feb
17
revised Blumenthal-Getoor index for IG and $\Gamma$
added 251 characters in body
Feb
17
asked Intuition behind a set of a assumptions about Lévy processes.
Feb
17
asked Blumenthal-Getoor index for IG and $\Gamma$
Jan
5
comment Can a “pseudo” SDE be solved as an ODE
@saz darn. Actually I did not think the term Ito process was commonly used - I guess I should have figured that SDE would not cut it, but that was my lecturer always used to call Ito processes. Thanks for clarifying :)
Jan
5
comment Can a “pseudo” SDE be solved as an ODE
That I want to assume very little about $Y_t$ - i.e. just that it follows an Stochastic Differential Equation (in contrast to say e.g. some nasty infinite activity jump process or the like).
Jan
5
asked Can a “pseudo” SDE be solved as an ODE