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Temporal Change in Distributional Properties of Lévy Processes

In: Lévy Processes

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  • Toshiro Watanabe

    (The University of Aizu, Center for Mathematical Sciences)

Abstract

Temporal changes in modality and absolute continuity of the distributions of Lévy processes are studied. Examples of Lévy processes whose distributions can have drastic temporal changes from unimodal to multimodal and from continuous and singular to absolutely continuous are given. Conditions on the distributions of Lévy processes to be unimodal at all times or to be absolutely continuous at all times are discussed.

Suggested Citation

  • Toshiro Watanabe, 2001. "Temporal Change in Distributional Properties of Lévy Processes," Springer Books, in: Ole E. Barndorff-Nielsen & Sidney I. Resnick & Thomas Mikosch (ed.), Lévy Processes, pages 89-107, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-0197-7_5
    DOI: 10.1007/978-1-4612-0197-7_5
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