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Re: infinite intensity and small steps
Posted:
Dec 23, 2009 12:43 PM
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In article <4b323c42$0$17517$ba4acef3@news.orange.fr>,
brieucs <brieuc@orange> wrote:
>hi,
>the question is about Levy processes,
>or infinitely divisible probabilty
>distribution on the real line;
>for some of them, with infinite intensity,
>small steps can be approximated by a brownian
>component (Asmussen and Rozinski);
>Is there an accessible example of such a
>process which "small-steps"-part could not
>be properly approximated by a brownian ?
>for instance, could the Cauchy distribution,
>or the Gamma distribution (- processes) or some
>stable Lvy processes, have small steps
>with infinite intensity, but not properly
>approximated with a brownian part ?
>thanks for any hint.
The small steps can be APPROXIMATED by Brownian
motion. The processes you mention have samll
steps with infinite intensity, but no Brownian
component.
--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Department of Statistics, Purdue University
hrubin@stat.purdue.edu Phone: (765)494-6054 FAX: (765)494-0558
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