Existence and estimates of moments for Levy-type processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:127

Article

Kuehn, Franziska¹ 

[1] Tech Univ Dresden, Fachrichtung Math, Inst Math Stochast, D-01062 Dresden, Germany

关键词: Levy-type processes;    Existence of moments;    Generalized moments;    Fractional moments;   

DOI  :  10.1016/j.spa.2016.07.008

来源: Elsevier

【 摘 要 】

In this paper, we establish the existence of moments and moment estimates for levy-type processes. We discuss whether the existence of moments is a time dependent distributional property, give sufficient conditions for the existence of moments and prove estimates of fractional moments. Our results apply in particular to SDEs and stable-like processes. (C) 2016 Elsevier B.V. All rights reserved.

【 授权许可】

Free