Logarithmic Lévy process directed by Poisson subordinator

DOI10.15559/19-VMSTA142zbMath1474.60129arXiv1912.07945MaRDI QIDQ2178926

Assen Tchorbadjieff, Penka Mayster

Publication date: 12 May 2020

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.07945

zbMATH Keywords

Stirling numbersGauss hypergeometric functionLévy processcompound Poisson processharmonic numbersBernstein functionpartial Bell polynomialschange of timeinfinitely divisible logarithmic series distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Bell and Stirling numbers (11B73) Classical hypergeometric functions, ({}_2F_1) (33C05)

Related Items (1)

Multiple subordinated modeling of asset returns: Implications for option pricing

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