On the martingale problem associated with nondegenerate Lévy operators
✍ Scribed by R. Mikulevičius; H. Pragarauskas
- Publisher
- Springer
- Year
- 1992
- Tongue
- English
- Weight
- 754 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0363-1672
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
The trace of a one-dimensional MARHOV process with LBVY measure By HEIDRUN SEIDEL of Dresden (Eingegangen am 10. 10. 1979) Q 1. Introduction Let X = ( X t , X t , P,) be a right-continuous FELLER process on the interval [O, I] with infinitesimal generator $ of the form (1.1) gm:, = D,DJ(x) + b ( 4 f