Subordination of Predictable Compensators

DOI10.1080/07362994.2015.1086657zbMath1329.60132arXiv1411.7547OpenAlexW3103227130MaRDI QIDQ3459227

Henry Chiu

Publication date: 21 December 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.7547

zbMATH Keywords

subordinationskew Brownian motionrandom measurespure jump processesgeneral time changesgeneric stochastic volatilitypredictable compensatorsrandom filtrations

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) General theory of stochastic processes (60G07) Random measures (60G57)

Cites Work

• Unnamed Item
• On the constructions of the skew Brownian motion
• Bilateral gamma distributions and processes in financial mathematics

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