Lévy processes, polynomials and martingales
✍ Scribed by Schoutens, Wim; Teugels, Jozef L.
- Book ID
- 120321996
- Publisher
- Informa UK (Taylor & Francis)
- Year
- 1998
- Tongue
- English
- Weight
- 457 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0882-0287
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
A martingale measure is constructed by using a mean correcting transform for the geometric Lévy processes model. It is shown that this measure is the mean correcting martingale measure if and only if, in the Lévy process, there exists a continuous Gaussian part. Although this measure cannot be equiv
These are processes A whose conditional laws, given some driving process X, are those of a process with independent increments. The treatment is limited to such increasing processes A, without assumptions on the law of X. Considering the time T of crossing some fixed threshold value by A, we derive