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brieucs
Posts:
14
Registered:
7/22/07
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Re: infinite intensity and small steps
Posted:
Dec 25, 2009 3:51 AM
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Herman Rubin a écrit :
>> the question is about Levy processes, ...
>> for some of them, with infinite intensity,
>> small steps can be approximated by a brownian
>> component (Asmussen and Rosinski);
>> for instance, could the Cauchy distribution,
>> or the Gamma distribution (- processes) or some
>> stable Levy processes, have small steps
>> with infinite intensity, but not properly
>> approximated [[ with a brownian part ? ]]
> The small steps can be APPROXIMATED by Brownian
> motion. The processes you mention have small
> steps with infinite intensity, but no Brownian
> component.
thank you for your answer; but the meaning
of my too-quickly formulated question was :
" [small steps] not properly approximated by
a brownian motion ? "
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