An introduction to excursion risk through discrete-time excursions
Author:
Affiliation:
1. Department of Data Science for Business Innovation, Chuo University
2. Department of Economics, Keiai University
Publisher
The Japan Society for Industrial and Applied Mathematics
Subject
General Engineering
Link
https://www.jstage.jst.go.jp/article/jsiaml/15/0/15_97/_pdf
Reference8 articles.
1. [1] A. Ananova, R. Cont and R. Xu, Excursion risk, arXiv:2011.02870.
2. [2] K. Itô, Poisson point processes attached to Markov processes, in: Proc. of the Sixth Berkeley Symposium on Mathematical Statistics and Probability (Univ. California, Berkeley, CA, 1970/1971). Vol. 3, pp.225–239, University of California Press, CA, 1972.
3. [3] L. C. G. Rogers and D. Williams, Diffusions, Markov Processes and Martingales. Vol. 2, Itô Calculus, Cambridge University Press, Cambridge, 2000.
4. [4] L. C. G. Rogers, A guided tour through excursions, Bull. Lond. Math. Soc., 21 (1989), 305–341.
5. [5] T.Fujita and N.Yoshida, Stochastic analysis for random walks: local times, Lévy's theorem and arc-sine law (in Japanese), Sūgaku Seminar, 61(10) (2022), 20–23.
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