Pareto Lévy measures and multivariate regular variation


We consider regular variation of a Lévy process X := (X t)t≥0 in R d with Lévy measure Π in consideration of dependence between the jumps. By transforming the one-dimensional marginal Lévy measures to those of a standard 1-stable Lévy process, we decouple the marginal Lévy measures from the dependence structure. The dependence between the jump components is… (More)


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