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arXiv · 0805.4332

Exact Edgeworth expansion for a Lévy process

Heikki J. Tikanmäki
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Abstract

The one dimensional distribution of a Lévy process is not known in general even though its characteristic function is given by the famous Lévy-Khinchine theorem. This article gives an exact series representation for the one dimensional distribution of a Lévy process satisfying certain moment conditions. Moreover, this work clarifies an old result by Cramér on Edgeworth expansions for the distribution function of a Lévy process.

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Heikki J. Tikanmäki. 2008-09-15. Exact Edgeworth expansion for a Lévy process. https://arxiv.org/abs/0805.4332

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