Hyperfinite stochastic integration for Lévy processes with finite-variation jump part

DOI10.1016/j.bulsci.2010.02.004zbMath1196.03085OpenAlexW2075561397WikidataQ57542991 ScholiaQ57542991MaRDI QIDQ977450

Frederik S. Herzberg

Publication date: 22 June 2010

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2010.02.004

zbMATH Keywords

Lévy processesnonstandard analysisstochastic integrationItô formula

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Nonstandard models in mathematics (03H05) Nonstandard measure theory (28E05)

Related Items (2)

The allure of infinitesimals: Sergio Albeverio and nonstandard analysis ⋮ First steps towards an equilibrium theory for Lévy financial markets

Cites Work

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