Dependence properties and comparison results for Lévy processes

Abstract

In this paper we investigate dependence properties and comparison results for multidimensional Lévy processes. In particular we address the questions, whether or not dependence properties and orderings of the copulas of the distributions of a Lévy process can be characterized by corresponding properties of the Lévy copula, a concept which has been… (More)
DOI: 10.1007/s00186-007-0185-6

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