Approximations for the distributions of bounded variation Lévy processes

DOI10.1016/J.SPL.2010.07.019MaRDI QIDQ613155zbMATH OpenOpenAlexFDO

Authors José E. Figueroa-López

Publication date 20 December 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.07.019

zbMATH Keywords

transition distributionssmall-time expansions of distributionstransition density approximationsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Limit theorems in probability theory (60F99)

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Cites work

• scientific article; zbMATH DE number 1995731 (Why is no real title available?)
• scientific article; zbMATH DE number 1552554 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Fitting the variance-gamma model to financial data
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Probability measures, Lévy measures and analyticity in time
• Small-time expansions for the transition distributions of Lévy processes
• Statistical analysis for discretely observed Lévy processes
• Tempering stable processes
• The Variance Gamma Process and Option Pricing

Cited in

(6)

• Stochastic bounds for Lévy processes.
• On the approximation of Lévy driven Volterra processes and their integrals
• Approximating Lévy processes with completely monotone jumps
• On optimal uniform approximation of Lévy processes on Banach spaces with finite variation processes
• Asymptotics of one-dimensional Lévy approximations
• Approximate formulas of Lévy-Khintchine for characteristic functions defined by PII processes in near intervals

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