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Elements of Randoms Analysis about the Gamma Generalized Hyperbolic Distribution Levy Stochastic Process

Authors :
Ngom, Nafy
Niang, Aladji Babacar
Dembele, Soumaila
Lo, Gane Samb
Publication Year :
2022

Abstract

In this paper, we study some aspects on random analysis on the L\'eevy stochastic processes with margins following generalized hyperbolic distributions generated by gamma laws. In particular we study the boundedness of its total variations and the quadratic variations. Next we give an empirical construction that enables the graphical representation of the paths of such stochastic processes. Comparisons with the Brownian motions are considered.<br />Comment: 21 pages, 4 figures, Construction of the gamma-gh L\'evy process for

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2212.06268
Document Type :
Working Paper