Equivalent measure changes for subordinate diffusions

DOI10.1080/15326349.2019.1606719zbMath1505.60046OpenAlexW3124091850WikidataQ128023134 ScholiaQ128023134MaRDI QIDQ5243380

Rafael Mendoza-Arriaga, Lingfei Li

Publication date: 18 November 2019

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2019.1606719

zbMATH Keywords

subordinationMarkov processesjump processestime-inhomogeneityequivalent measure changes

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Jump processes on general state spaces (60J76)

Related Items (2)

Additive subordination and its applications in finance ⋮ Modelling electricity prices: a time change approach

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