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Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 2000-18
May 2000

Probability densities and Lévy densities


Ole E. Barndorff-Nielsen


For positive Lévy processes (i.e. subordinators) formulae are derived that express the probability density or the distribution function in terms of power series in time t. The applicability of the results to finance and to turbulence is briefly indicated.

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