L\'evy measures of infinitely divisible positive processes -- examples and distributional identities

Nathalie Eisenbaum; Jan Rosiński

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arXiv · 2106.10175

L\'evy measures of infinitely divisible positive processes -- examples and distributional identities

Nathalie Eisenbaum·Jan Rosiński

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Abstract

The law of a positive infinitely divisible process with no drift is characterized by its L\'evy measure on the paths space. Based on recent results of the two authors, it is shown that even for simple examples of such processes, the knowledge of their L\'evy measures allows to obtain remarkable distributional identities.

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Nathalie Eisenbaum, Jan Rosiński. 2021-06-18. L\'evy measures of infinitely divisible positive processes -- examples and distributional identities. https://arxiv.org/abs/2106.10175

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