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On integrals with respect to Lévy processes

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  • Küchler, Uwe

Abstract

Assume L is a non-deterministic real-valued Lévy process and f is a smooth function on [0,t]. If for some Borel function H P-almost sure the equalityholds, then f is constant on [0,t].

Suggested Citation

  • Küchler, Uwe, 2004. "On integrals with respect to Lévy processes," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 145-151, January.
    • Handle: RePEc:eee:stapro:v:66:y:2004:i:2:p:145-151
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    References listed on IDEAS

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    1. Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53, January.
    2. Küchler, Uwe & Naumann, Eva, 2003. "Markovian short rates in a forward rate model with a general class of Lévy processes," SFB 373 Discussion Papers 2003,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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