Independent increment processes: a multilinearity preserving property-Reference-Cited by-同舟云学术

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Independent increment processes: a multilinearity preserving property

Published:2020-08-16 Issue:6 Volume:93 Page:803-832
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Benth Fred Espen¹,Detering Nils²,Krühner Paul³

Affiliation:

1. Department of Mathematics, University of Oslo, Oslo, Norway

2. Department of Statistics and Applied Probability, University of California Santa Barbara, Santa Barbara, CA, USA

3. Institute for Financial and Actuarial Mathematics, The University of Liverpool, Liverpool, UK

Funder

Norwegian Research Council

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2020.1802458

Reference20 articles.

1. The Jacobi stochastic volatility model

2. Lévy Processes and Stochastic Calculus

3. Representation of Infinite-Dimensional Forward Price Models in Commodity Markets

4. Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility

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1. Measure-valued affine and polynomial diffusions;Stochastic Processes and their Applications;2024-09

2. Abstract polynomial processes;Electronic Journal of Probability;2024-01-01

3. Infinite-dimensional polynomial processes;Finance and Stochastics;2021-03-04

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