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Two-Parameter Lévy Processes Along Decreasing Paths

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Abstract

Let \(\{X_{t_{1},t_{2}}:t_{1},t_{2}\geq0\}\) be a two-parameter Lévy process on ℝd. We study basic properties of the one-parameter process {X x(t),y(t):t∈T} where x and y are, respectively, nondecreasing and nonincreasing nonnegative continuous functions on the interval T. We focus on and characterize the case where the process has stationary increments.

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Authors and Affiliations

  1. Department of Mathematics, Bar Ilan University, 52900, Ramat-Gan, Israel

    Shai Covo

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  1. Shai Covo
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Correspondence to Shai Covo.

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A preprint version of this paper forms part of the author’s Ph.D. thesis prepared at Bar Ilan University under the supervision of Prof. E. Merzbach. Work supported by the Doctoral Fellowship of Excellence, Bar Ilan University.

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Covo, S. Two-Parameter Lévy Processes Along Decreasing Paths. J Theor Probab 24, 150–169 (2011). https://doi.org/10.1007/s10959-010-0277-8

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  • DOI: https://doi.org/10.1007/s10959-010-0277-8

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