Reviewing alternative characterizations of Meixner process

DOI10.1214/11-PS177zbMath1244.60036OpenAlexW1608778382MaRDI QIDQ431510

E. Mazzola, Pietro Muliere

Publication date: 28 June 2012

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ps/1311860831

zbMATH Keywords

Lévy processesorthogonal polynomialsequivalent martingale measuresubordinatorEsscher transformMeixner processMeixner-Pollaczeck polynomials

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) General theory of stochastic processes (60G07) Foundations of stochastic processes (60G05)

Related Items (2)

On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance ⋮ Timing portfolio strategies with exponential Lévy processes

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