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Dokumenttyp:
Buchbeitrag 
Autor(en):
Bertoin, J., Lindner, A., Maller, R. 
Künstler (Werkautoren):
Donati-Martin, C., Émery, M., Rouault, A. und Stricker, C. (Eds.) 
Titel:
On continuity properties of integrals of Lévy processes 
Abstract:
Let (ξ,η) be a bivariate Lévy process such that the integral ∫0 et-t converges almost surely. We characterise, in terms of their Lévy measures, those Lévy processes for which (the distribution of) this integral has atoms. We then turn attention to almost surely convergent integrals of the form I:=∫0g(ξt)dYt, where g is a deterministic function. We give sufficient conditions ensuring that I has no atoms, and under further conditions derive that I has a Lebesgue density. The results are also extended to certain integrals of the form ∫0g(ξt)dYt, where Y is an almost surely strictly increasing stochastic process, independent of ξ. 
Seitenangaben Beitrag:
137-159 
Buchtitel:
Donati-Martin, C., Émery, M., Rouault, A. und Stricker, C.: Séminaire de Probabilités 
Verlag / Institution:
Springer 
Jahr:
2008 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 08 
Format:
Text