# Questions tagged [levy-processes]

Question related to Lévy processes, i.e. stochastically continuous processes with independent, stationary increments.

20 questions
156 views

349 views

### Conditional law of the arrival times of a Poisson process

The following is Exercise 2.1.(i) from the book "Introductory Lectures on Fluctuations of Levy Processes with Applications". I use the book for self study and couldn't prove this exercise. I would be ...
97 views

### Give canonical decomposition of semimartingales $Z_t$ and $W_t$ based on $\mathscr{A}_t$ Levy's area

Let $(X_t, Y_t)$ be a two-dimensional $(\mathscr{F}_t)$-Brownian motion started from 0. We set, for every $t \geq 0$ $$\mathscr{A}_t = \int_0^t X_s dY_s - \int_0^t Y_s dX_s$$ (Levy's area). ...
169 views

### A proof by René Schilling that a continuous Lévy process is integrable

In his treatise "An Introduction to Lévy and Feller Processes" (arXiv link), Prof. Dr. René Schilling gives a short and seemingly straightforward proof for the claim that a continuous Lévy process is ...
1k views

### Good book that contains stochastic integration, martingales and Lévy-processes?

Does anyone know about any good and easy interoductory books which contins information about martingales, sotchastic integration and Lévy-processes? I have tried reading: http://www.cambridge.org/us/...
404 views

434 views