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- fashionmarina
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jump diffusion behavior
is always a compound poisson process, whatever is the jump size distribution (i.e. gamma), a (Lévy) process of finite activity and finite variation?is always a compound poisson process a subordinated process where the jump size process is subordinated by a poisson process?thanks
jump diffusion behavior
Yes, all true.p.s. I assume what you mean by the "jump size process" is the following:A (discrete-time) random walk (process), as defined by Feller or Spitzer,where RW increments are drawn at unit time steps from a jump size distribution. regards,
Last edited by Alan on July 20th, 2008, 10:00 pm, edited 1 time in total.