By using the classical umbral calculus, we propose a symbolic expression of multivariate Lévy processes. Compared with the classical one, the advantage of this approach relies in relaxing many of usual hypothesis necessary to deal with stochastic processes. As example, we recover the symbolic representation of multivariate Brownian motion and multivariate compound Poisson process. Open problems are also addressed. © 2011 American Institute of Physics.
On a symbolic version of multivariate Lévy processes / Di Nardo, E.; Oliva, I.. - 1389:(2011), pp. 345-348. (Intervento presentato al convegno International Conference on Numerical Analysis and Applied Mathematics: Numerical Analysis and Applied Mathematics, ICNAAM 2011 tenutosi a Halkidiki, grc) [10.1063/1.3636735].
On a symbolic version of multivariate Lévy processes
Oliva I.
2011
Abstract
By using the classical umbral calculus, we propose a symbolic expression of multivariate Lévy processes. Compared with the classical one, the advantage of this approach relies in relaxing many of usual hypothesis necessary to deal with stochastic processes. As example, we recover the symbolic representation of multivariate Brownian motion and multivariate compound Poisson process. Open problems are also addressed. © 2011 American Institute of Physics.| File | Dimensione | Formato | |
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