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Download e-book for kindle: Lévy matters II : recent progress in theory and by Serge Cohen; et al

Posted On April 20, 2018 at 2:08 pm by / Comments Off on Download e-book for kindle: Lévy matters II : recent progress in theory and by Serge Cohen; et al

By Serge Cohen; et al

ISBN-10: 3642314066

ISBN-13: 9783642314063

ISBN-10: 3642314074

ISBN-13: 9783642314070

Fractional Levy Fields.- the speculation of Scale features for Spectrally unfavorable Levy strategies

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Extra info for Lévy matters II : recent progress in theory and applications: fractional Lévy fields, and scale functions

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Cohen Since, for every > 0, ⎛ ⎛ n − log ⎝E exp ⎝i ⎞⎞ θj (XH ( tj )⎠⎠ j=1 α n = Rd j=1 θ j ( tj − s H−d/α ⎛ ⎛ − s H−d/α ) ds. By letting s = s, we get ⎛ ⎛ − log ⎝E exp ⎝i ⎞⎞ n θj ( H XH (tj )⎠⎠ = − log ⎝E exp ⎝i j=1 n ⎞⎞ θj (XH ( tj )⎠⎠ , j=1 which yields the self-similarity property. 2 Real Harmonizable Fractional Stable Fields One can easily construct a stable counterpart of the harmonizable representation (32) of the fractional Brownian motion. In this article we focus on real valued harmonizable process.

Since for 0 < β < α, sup E|ZH (t, t )|β < +∞ it follows that the family t,t of log2 |ZH (t, t )| is uniformly integrable if sup E|ZH (t, t )|−β is finite for some t,t 0 < β < α. Let us show this point. Since ψ ∈ L1 (Rd ) because of (108), ZH (t, t ) has a continuous density denoted by pt,t . Then, let B be the unit ball in Rd E|ZH (t, t )|−β = x −β Rd = x −β pt,t (x)dx pt,t (x)dx + B ≤ ψ L1 (Rd ) −β x x Rd \B −β pt,t (x)dx dx + 1, B where we have bounded the Fourier transform of pt,t by ψ. Hence sup E|ZH (t, t )|−β < +∞ t,t for every 0 < β < d.

Cohen Clearly, φβ (x)/x → +∞ when x → +∞. One has: Eφβ (log2 |ZH (t, t )|) ≤ eβ + E|ZH (t, t )|β + E|ZH (t, t )|−β . Since for 0 < β < α, sup E|ZH (t, t )|β < +∞ it follows that the family t,t of log2 |ZH (t, t )| is uniformly integrable if sup E|ZH (t, t )|−β is finite for some t,t 0 < β < α. Let us show this point. Since ψ ∈ L1 (Rd ) because of (108), ZH (t, t ) has a continuous density denoted by pt,t . Then, let B be the unit ball in Rd E|ZH (t, t )|−β = x −β Rd = x −β pt,t (x)dx pt,t (x)dx + B ≤ ψ L1 (Rd ) −β x x Rd \B −β pt,t (x)dx dx + 1, B where we have bounded the Fourier transform of pt,t by ψ.

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Lévy matters II : recent progress in theory and applications: fractional Lévy fields, and scale functions by Serge Cohen; et al


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