Martingales associated with functions of Markov and finite variation processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computational Theory and Mathematics,Management Science and Operations Research,Computer Science Applications
Link
https://link.springer.com/content/pdf/10.1007/s11134-022-09749-8.pdf
Reference18 articles.
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2. Asmussen, S.: Applied Probability and Queues, 2nd edn. Springer, Berlin (2003)
3. Asmussen, S., Albrecher, H.: Ruin Probabilities, 2nd edn. World Scientific, Singapore (2010)
4. Asmussen, S., Avram, F., Pistorius, M.R.: Russian and American put options under exponential phase-type Lévy models. Stoch. Processes Their Appl. 109, 79–111 (2004)
5. Asmussen, S., Kella, O.: A multi-dimensional martingale for Markov additive processes and its applications. Adv. Appl. Probab. 32, 376–393 (2000)
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