CBI-time-changed Lévy processes
DOI10.1016/J.SPA.2023.06.005zbMath1517.60050arXiv2205.12355OpenAlexW4381166203MaRDI QIDQ6116556
Guillaume Szulda, Claudio Fontana, Alessandro Gnoatto
Publication date: 14 August 2023
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.12355
Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stochastic integral equations (60H20)
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