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Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization

✍ Scribed by Jonathan Bennett; Jiang-Lun Wu


Publisher
Higher Education Press and Springer
Year
2007
Tongue
English
Weight
290 KB
Volume
2
Category
Article
ISSN
1673-3452

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Lévy-Sheffer and IID-Sheffer polynomials
✍ Wim Schoutens 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 318 KB

In [11] an unusual connection between orthogonal polynomials and martingales has been studied. There, all orthogonal Sheffer polynomials, were linked to a unique Lfvy process, i.e., a continuous time stochastic process with stationary and independent increments. The connection between the polynomial