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Series Representations of Lévy Processes from the Perspective of Point Processes

In: Lévy Processes

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  • Jan Rosiński

    (University of Tennessee, Department of Mathematics)

Abstract

Several methods of generating series representations of a Lévy process are presented under a unified approach and a new rejection method is introduced in this context. The connection of such representations with the Lévy-Itô integral representation is precisely established. Four series representations of a gamma process are given as illustrations of these methods.

Suggested Citation

  • Jan Rosiński, 2001. "Series Representations of Lévy Processes from the Perspective of Point Processes," Springer Books, in: Ole E. Barndorff-Nielsen & Sidney I. Resnick & Thomas Mikosch (ed.), Lévy Processes, pages 401-415, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-0197-7_18
    DOI: 10.1007/978-1-4612-0197-7_18
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