By using the classical umbral calculus, we propose a symbolic expression of multivariate L'evy processes. Compared with the classical one, the advantage of this approach relies in relaxing many of usual hypotheses 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.

On a symbolic version of multivariate Levy processes.

DI NARDO, Elvira;
2011-01-01

Abstract

By using the classical umbral calculus, we propose a symbolic expression of multivariate L'evy processes. Compared with the classical one, the advantage of this approach relies in relaxing many of usual hypotheses 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
ICNAAM 2011
Halkidiki, Greece
19-25 September 2011
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2011: International Conference on Numerical Analysis and Applied Mathematics
New York: American Institute of Physics:2 Huntington Quadrangle, Suite 1NO1:Melville, NY 11747:(800)344-6902, (631)576-2287, EMAIL: subs@aip.org, INTERNET: http://www.aip.org, Fax: (516)349-9704 AMER INST PHYSICS, CIRCULATION & FULFILLMENT DIV, 2 HUNTINGT
1389
345
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9780735409569
DI NARDO, Elvira; Oliva, I.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/1561373
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