First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes

DOI10.1016/j.spa.2008.09.008zbMath1165.60326OpenAlexW2086346266MaRDI QIDQ1019617

Robert Stelzer

Publication date: 4 June 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.09.008

zbMATH Keywords

stochastic differential equationSkorokhod topologyLévy processuniform tightnessfirst jump approximationmultivariate exponential COGARCHuniformly controlled variations

Mathematics Subject Classification ID

Related Items (2)

MULTIVARIATE ECOGARCH PROCESSES ⋮ Asymmetric COGARCH processes

Cites Work

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