A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets-Reference-Cited by-同舟云学术

A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets

Published:2006-10 Issue:5 Volume:78 Page:301-325
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Albeverio Sergio¹,Herzberg Frederik S.²

Affiliation:

1. a Institut für Angewandte Mathematik , Universität Bonn , Bonn , D-53115 , German

2. b Abteilung für Stochastik, Institut für Angewandte Mathematik , Universität Bonn , Bonn , D-53115 , German

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442500600900707

Reference13 articles.

1. Albeverio, S. and Fenstad, J. and Høegh-Krohn, R. and Lindstrøm, T.(1986) Nonstandard methods in stochastic analysis and mathematical physics. In Pure and Applied Mathematics 122. . Orlando, FL : Academic Press.

2. Albeverio, S. and Herzberg, F.S., 2006, Lifting Lévy processes to hyperfinite random walks, To appear.

3. Anderson, R.M. (1976) A nonstandard representation for Brownian motion and Itô integration Israel Journal of Mathematics, 25, pp. 15 - 46.

4. Applebaum, D. (2004) Lévy processes—from probability to finance and quantum groups Notices of the American Mathematical Society, 51, pp. 1336 - 1347.

5. Boyarchenko, S.I. and Levendorskii, S.Z.(2002) Non-Gaussian Merton-Black-Scholes theory. In Advanced Series on Statistical Science & Applied Probability. . River Edge, NJ : World Scientific.

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