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Existence and estimates of moments for Lévy-type processes

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  • Kühn, Franziska

Abstract

In this paper, we establish the existence of moments and moment estimates for Lévy-type processes. We discuss whether the existence of moments is a time dependent distributional property, give sufficient conditions for the existence of moments and prove estimates of fractional moments. Our results apply in particular to SDEs and stable-like processes.

Suggested Citation

  • Kühn, Franziska, 2017. "Existence and estimates of moments for Lévy-type processes," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 1018-1041.
    • Handle: RePEc:eee:spapps:v:127:y:2017:i:3:p:1018-1041
    DOI: 10.1016/j.spa.2016.07.008
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    References listed on IDEAS

    as
    1. Deng, Chang-Song & Schilling, René L., 2015. "On shift Harnack inequalities for subordinate semigroups and moment estimates for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3851-3878.
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