The following pages link to (Q4176256):
Displayed 6 items.
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
- Necessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent increments (Q1058223) (← links)
- Lévy systems and the time value of ruin for Markov additive processes (Q1936473) (← links)
- Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory (Q2137021) (← links)
- Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465) (← links)