On integrals with respect to Lévy processes.

DOI10.1016/J.SPL.2003.09.005zbMath1103.60050OpenAlexW2087380075MaRDI QIDQ1423027

Uwe Küchler

Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4227

zbMATH Keywords

Compound Poisson processLévy processprocessIntegration with respect to Lévy

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Related Items (1)

Markovian short rates in multidimensional term structure Lévy models

Cites Work

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• Term Structure Models Driven by General Levy Processes

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