A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets

DOI10.1080/17442500600900707zbMath1119.28012OpenAlexW2023960274WikidataQ57543017 ScholiaQ57543017MaRDI QIDQ3426321

Frederik S. Herzberg, Sergio A. Albeverio

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600900707

zbMATH Keywords

nonstandard analysishyperfinite Lévy and Poisson processesinfinitesimal generators of Markovian semigroups

Mathematics Subject Classification ID

Related Items (4)

The allure of infinitesimals: Sergio Albeverio and nonstandard analysis ⋮ First steps towards an equilibrium theory for Lévy financial markets ⋮ Hyperfinite stochastic integration for Lévy processes with finite-variation jump part ⋮ Nonlinear stochastic integrals for hyperfinite Lévy processes

Cites Work

• Lifting Lévy processes to hyperfinite random walks
• Adapted Probability Distributions
• Hyperfinite Lévy Processes
• Financial Modelling with Jump Processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets