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Simple examples of pure-jump strict local martingales - MaRDI portal

Simple examples of pure-jump strict local martingales (Q491181)

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Simple examples of pure-jump strict local martingales
scientific article

    Statements

    title
    Simple examples of pure-jump strict local martingales (English)
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    publication date
    24 August 2015
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    zbMATH Keywords
    strict local martingales
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    affine processes
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    self-exciting processes
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    generalized Riccati equation
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    Identifiers

    zbMATH DE Number
    6475124
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    OpenAlex ID
    W1604598364
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    arXiv ID
    1405.2669
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