A characterization of stable processes

DOI10.2307/3212010MaRDI QIDQ5580732zbMATH OpenOpenAlexFDO

Authors Eugene Lukacs

Publication date 1969

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3212010

zbMATH Keywords

probability theory

Cited in

(10)

• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• On stationary solutions of delay differential equations driven by a Lévy process.
• A stochastic discounting model arising in competing risks management
• Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications
• Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
• Stochastic programming and stochastic control
• Differentiable approximation of diffusion equations driven by \(\alpha\)-stable Lévy noise
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes
• Bounds on prices for Asian options via Fourier methods
• Retarded stationary Ornstein-Uhlenbeck processes driven by Lévy noise and operator self-decomposability

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