Alekk
Member
Posts: 97
Joined: Sep 2007

Sun Mar 16, 08 11:52 PM


Hi all,
I am struggling with the following exercice. Suppose that X_t is a Levy process with characteristic triplet (b, c, mu(dx)). Then it is not hard to see that there exists a Levy process Z_t such that
where is the DoleansDade exponential of Z_t. How would you compute the characteristic triplet of Z_t. It is quite clear that the brownian part of Z_t is the same as the brownian part of X_t. What about the drift and the Levy measure ?
many thanks, Alekk

Don't take life so serious, son, it ain't nohow permanent.

