Zobrazeno 1 - 10
of 94
pro vyhledávání: '"Rosiński, Jan"'
L\'evy measures of infinitely divisible positive processes -- examples and distributional identities
Autor:
Eisenbaum, Nathalie, Rosiński, Jan
The law of a positive infinitely divisible process with no drift is characterized by its L\'evy measure on the paths space. Based on recent results of the two authors, it is shown that even for simple examples of such processes, the knowledge of thei
Externí odkaz:
http://arxiv.org/abs/2106.10175
Autor:
Jakubowski, Adam, Rosiński, Jan
Publikováno v:
Contemporary Mathematics, 234 (1999), 85-95
We provide an inequality which is a useful tool in studying both large deviation results and limit theorems for sums of random fields with "negligible" small values. In particular, the inequality covers cases of stable limits for random variables wit
Externí odkaz:
http://arxiv.org/abs/1709.01165
Autor:
Rosinski, Jan
We propose isomorphism type identities for nonlinear functionals of general infinitely divisible processes. Such identities can be viewed as an analogy of the Cameron-Martin formula for Poissonian infinitely divisible processes but with random transl
Externí odkaz:
http://arxiv.org/abs/1607.07862
We propose Mecke-Palm formulas for multiple integrals with respect to a Poisson random measure interlaced with its intensity measure. We apply such formulas to multiple mixed L\'evy systems of L\'evy processes and obtain moment formulas for products
Externí odkaz:
http://arxiv.org/abs/1411.7952
Autor:
Basse-O'Connor, Andreas, Rosiński, Jan
Stricker's theorem states that a Gaussian process is a semimartingale in its natural filtration if and only if it is the sum of an independent increment Gaussian process and a Gaussian process of finite variation, see [1983, Z. Wahrsch. Verw. Gebiete
Externí odkaz:
http://arxiv.org/abs/1404.7598
Regular variation of distributional tails is known to be preserved by various linear transformations of some random structures. An inverse problem for regular variation aims at understanding whether the regular variation of a transformed random objec
Externí odkaz:
http://arxiv.org/abs/1401.5777
In this paper we find and develop a stochastic integral representation for the class of strictly stable distributions. We establish an explicit relationship between stochastic integral and shot-noise series representations of strictly stable distribu
Externí odkaz:
http://arxiv.org/abs/1304.1580
Mixed moving average processes appear in the ergodic decomposition of stationary symmetric \alpha-stable (S\alpha S) processes. They correspond to the dissipative part of "deterministic" flows generating S\alpha S processes (Rosinski, 1995). Along th
Externí odkaz:
http://arxiv.org/abs/1211.6419
Autor:
Basse-O'Connor, Andreas, Rosinski, Jan
This paper gives a complete characterization of infinitely divisible semimartingales, i.e., semimartingales whose finite dimensional distributions are infinitely divisible. An explicit and essentially unique decomposition of such semimartingales is o
Externí odkaz:
http://arxiv.org/abs/1209.1644
Autor:
Basse-O'Connor, Andreas, Rosiński, Jan
We characterize the finite variation property for stationary increment mixed moving averages driven by infinitely divisible random measures. Such processes include fractional and moving average processes driven by Levy processes, and also their mixtu
Externí odkaz:
http://arxiv.org/abs/1201.4366