scientific article; zbMATH DE number 5499192

zbMath1156.60030MaRDI QIDQ5506182

Marc Yor

Publication date: 28 January 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

absolute continuitybridgesgamma processtime changesinverse local time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65)

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ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES ⋮ Does there exist a Lebesgue measure in the infinite-dimensional space? ⋮ Bridges with random length: gamma case ⋮ Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing ⋮ On risk measuring in the variance-gamma model ⋮ Quasi-invariance properties of a class of subordinators ⋮ Lévy random bridges and the modelling of financial information ⋮ Hedging jump risk, expected returns and risk premia in jump-diffusion economies ⋮ Lévy-Ito models in finance ⋮ DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS

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