Characterization of dependence of multidimensional Lévy processes using Lévy copulas (Q2499076)

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Characterization of dependence of multidimensional Lévy processes using Lévy copulas
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    Characterization of dependence of multidimensional Lévy processes using Lévy copulas (English)
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    14 August 2006
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    The authors introduce in analogy to the ordinary copula a new object, called Lévy copula, which describes the dependence between components and does not depend on their individual laws. They show that a general Lévy measure \(\nu\) in \(R^d\) can be constructed from the marginal Lévy measures \(\nu_i\), \(i=1\dots d\) by a Lévy copula. So, the dependence structure of a multivariate Lévy process can be reduced to the dependence structure of the Lévy measure and the covariance matrix of the Gaussian part. The authors prove that the Lévy copula and the Gaussian copula of the Browian motion part of a Lévy process \(X\) can be recovered from the ordinary copula of \(X_t\) at small times \(t\). Finally the authors construct parametric families of Lévy copulas which may turn out to be useful in applications, e.g., in mathematical finance.
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    Levy process
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    Copula
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    Limit theorems
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