On the integral modulus of continuity of infinitely divisible distributions, especially of stochastic integrals

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:486

Article

Berger, David¹ 

[1] Ulm Univ, Inst Math Finance, Helmholtzstr 18, D-89081 Ulm, Germany

关键词: Infinitely divisible distributions;    Densities;    Integral modulus of continuity;    Stochastic integrals;   

DOI  :  10.1016/j.jmaa.2019.123836

来源: Elsevier

【 摘 要 】

We derive estimates for the integral modulus of continuity of probability densities of infinitely divisible distributions. The paper is split into two parts. The first part deals with general infinitely divisible distributions. The second part is concerned with densities of random integrals with respect to a Levy process. We will see major differences between integrals over compact and non-compact intervals. (C) 2020 Elsevier Inc. All rights reserved.

【 授权许可】

Free