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arXiv · 2212.06268

Elements of Randoms Analysis about the Gamma Generalized Hyperbolic Distribution Levy Stochastic Process

Nafy Ngom·Aladji Babacar Niang·Soumaila Dembele·Gane Samb Lo
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Abstract

In this paper, we study some aspects on random analysis on the L\'eevy stochastic processes with margins following generalized hyperbolic distributions generated by gamma laws. In particular we study the boundedness of its total variations and the quadratic variations. Next we give an empirical construction that enables the graphical representation of the paths of such stochastic processes. Comparisons with the Brownian motions are considered.

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Nafy Ngom, Aladji Babacar Niang, Soumaila Dembele, Gane Samb Lo. 2022-12-12. Elements of Randoms Analysis about the Gamma Generalized Hyperbolic Distribution Levy Stochastic Process. https://arxiv.org/abs/2212.06268

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