Analytical representations for the basic affine jump diffusion
type: Item
instance of: scholarly article
title: Analytical representations for the basic affine jump diffusion
zbMATH Open document ID: 1408.60077
author: Lingfei Li
author: Rafael Mendoza-Arriaga
author: Daniel Mitchell
published in: Operations Research Letters
publication date: 2018-09-28T00:00:00Z
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6945450
zbMATH Keywords: basic affine jump diffusion
zbMATH Keywords: subordination
zbMATH Keywords: transition density
MaRDI profile type: Publication
full work available at URL: j.orl.2015.12.003
OpenAlex ID: W2203226164
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DOI: 10.1016/J.ORL.2015.12.003
describes a project that uses: Digital Library of Mathematical Functions
description: scientific article; zbMATH DE number 6945450