Processes that can be embedded in Brownian motion

From MaRDI portal
Publication:1251859

DOI10.1214/aop/1176995609zbMath0392.60057OpenAlexW2027338865MaRDI QIDQ1251859

Itrel Monroe

Publication date: 1978

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176995609




Related Items

Explicit form and robustness of martingale representations.LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESSRate of convergence in the functional central limit theorem for semimartingales\(p\)-variation of strong Markov processes.Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processesSubdiffusive search with home returns via stochastic resetting: a subordination scheme approachValuation of asset and volatility derivatives using decoupled time-changed Lévy processesA risk model driven by Lévy processesProbabilistic aspects of financeMaximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swapsEstimation of the activity of jumps in time-changed Lévy modelsMaximal inequalities and some applicationsReviewing alternative characterizations of Meixner processWhen is a stochastic integral a time change of a diffusion?Statistical inference for time-changed Lévy processes via composite characteristic function estimationTiming portfolio strategies with exponential Lévy processesStatistical estimation of Lévy-type stochastic volatility modelsSome properties of the one-dimensional subordinated stable modelINFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETSStochastic distortion and its transformed copulaValuing Bermudan options when asset returns are Lévy processesSeries representations for multivariate time-changed Lévy modelsA PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATAUSING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETSA GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCERecovering a time-homogeneous stock price process from perpetual option pricesInequalities for upcrossings of semimartingales via skorohod embeddingTHE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONSRepresentacion de variables en el movimiento browniano con derivaPatterns in Random Walks and Brownian MotionOn the class of distributions of subordinated Lévy processes and basesEstimating quadratic variation when quoted prices change by a constant incrementOptimal learning with non-Gaussian rewardsInference for local distributions at high sampling frequencies: a bootstrap approachProcesses That Can Be Embedded in a Geometric Brownian MotionCALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORMConfined random motion with Laplace and Linnik statistics