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Properties of Lévy Processes » Variance gamma process

Variance gamma process

Variance gamma process

A variance gamma process. This can be constructed as a Brownian motion time changed by a gamma process, or as the difference of two independent gamma processes. Variance gamma processes are examples of Lévy processes with finite variation, but infinitely many jumps, on every time interval.

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1 Comment »

  1. i would like to know more about the behavior of their levy measure.Thanks

    Comment by mawaki — 4 February 12 @ 1:22 PM | Reply


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