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BIRS Workshop Lecture Videos

Some perturbation identities for infinitely divisible processes Rosinski, Jan


We propose isomorphism type identities for nonlinear functionals of infinitely divisible (ID) processes. Such identities can be viewed as an analogy of the Cameron-Martin formula for Poissonian ID processes but with random translations, or perturbation identities. Their applicability relies on some knowledge of Lévy measures of stochastic processes and their representations. We will illustrate this approach on examples, including stable processes.

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