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Independent compound Poisson jumps cannot cancel

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Lévy process Compound Poisson process
2026-10-14  0 By others on same topic  0 Discussions Create my own version
Let Y be a Compound Poisson process with nonzero jump marks and positive rate, independent of a càdlàg process Z. Conditional on the path of Z, its discontinuities form a countable set. The Poisson jump times have continuous distributions and avoid that set almost surely. At every jump of Y, the sum Y+Z therefore has the same nonzero jump. In particular a continuous Lévy process cannot have a positive-rate independent compound Poisson component. Applying this to each truncation of its Lévy measure proves that its jump measure is zero.

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  1. Compound Poisson process
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  • Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 27 / 1 / Solution

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