ON JACOD–GRIGELIONIS CHARACTERISTICS FOR HILBERT SPACE VALUED SEMIMARTINGALES

DOI10.1081/SAP-120014551zbMath1018.60047OpenAlexW1975331686MaRDI QIDQ4797321

No author found.

Publication date: 11 September 2003

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

Full work available at URL: https://doi.org/10.1081/sap-120014551

zbMATH Keywords

quasi-left continuous semimartingalesJacod-Grigelionis characteristics

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

Related Items (6)

Valuing catastrophe bonds involving correlation and CIR interest rate model ⋮ Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making ⋮ Local characteristics and tangency of vector-valued martingales ⋮ Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework ⋮ Integration with Respect to Hilbert Space‐Valued Semimartingales via Jacod‐Grigelionis Characteristics ⋮ Pricing European options under uncertainty with application of Lévy processes and the minimal \(L^q\) equivalent martingale measure

Cites Work

• Decompositions of semimartingales on \({\mathcal S}'\)
• Semimartingales: A course on stochastic processes
• Unnamed Item
• Unnamed Item

This page was built for publication: ON JACOD–GRIGELIONIS CHARACTERISTICS FOR HILBERT SPACE VALUED SEMIMARTINGALES