Abstract
Several methods of generating series representations of a Lévy process are presented under a unified approach and a new rejection method is introduced in this context. The connection of such representations with the Lévy-Itô integral representation is precisely established. Four series representations of a gamma process are given as illustrations of these methods.
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Rosiński, J. (2001). Series Representations of Lévy Processes from the Perspective of Point Processes. In: Barndorff-Nielsen, O.E., Resnick, S.I., Mikosch, T. (eds) Lévy Processes. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0197-7_18
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DOI: https://doi.org/10.1007/978-1-4612-0197-7_18
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