Processes that can be embedded in Brownian motion
From MaRDI portal
Publication:1251859
DOI10.1214/aop/1176995609zbMath0392.60057OpenAlexW2027338865MaRDI QIDQ1251859
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 PROCESS ⋮ Rate 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 processes ⋮ Subdiffusive search with home returns via stochastic resetting: a subordination scheme approach ⋮ Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes ⋮ A risk model driven by Lévy processes ⋮ Probabilistic aspects of finance ⋮ Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps ⋮ Estimation of the activity of jumps in time-changed Lévy models ⋮ Maximal inequalities and some applications ⋮ Reviewing alternative characterizations of Meixner process ⋮ When is a stochastic integral a time change of a diffusion? ⋮ Statistical inference for time-changed Lévy processes via composite characteristic function estimation ⋮ Timing portfolio strategies with exponential Lévy processes ⋮ Statistical estimation of Lévy-type stochastic volatility models ⋮ Some properties of the one-dimensional subordinated stable model ⋮ INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS ⋮ Stochastic distortion and its transformed copula ⋮ Valuing Bermudan options when asset returns are Lévy processes ⋮ Series representations for multivariate time-changed Lévy models ⋮ A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA ⋮ USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS ⋮ A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE ⋮ Recovering a time-homogeneous stock price process from perpetual option prices ⋮ Inequalities for upcrossings of semimartingales via skorohod embedding ⋮ THE DEPENDENCE STRUCTURE OF RUNNING MAXIMA AND MINIMA: RESULTS AND OPTION PRICING APPLICATIONS ⋮ Representacion de variables en el movimiento browniano con deriva ⋮ Patterns in Random Walks and Brownian Motion ⋮ On the class of distributions of subordinated Lévy processes and bases ⋮ Estimating quadratic variation when quoted prices change by a constant increment ⋮ Optimal learning with non-Gaussian rewards ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ Processes That Can Be Embedded in a Geometric Brownian Motion ⋮ CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM ⋮ Confined random motion with Laplace and Linnik statistics