Integrability of multivariate subordinated Lévy processes in Hilbert space

DOI10.1080/17442508.2014.966826zbMath1327.60103arXiv1211.6266OpenAlexW3099185304MaRDI QIDQ5265794

Paul Krühner, Fred Espen Benth

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.6266

zbMATH Keywords

Lévy processesHilbert spaceintegrabilitymultivariate subordinationinfinite variate normal inverse Gaussian process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Stable stochastic processes (60G52)

Related Items (5)

Approximation and simulation of infinite-dimensional Lévy processes ⋮ Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models ⋮ On stochastic control for time changed Lévy dynamics

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