Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (Q2450704): Difference between revisions

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Latest revision as of 13:10, 8 July 2024

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Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
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    Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (English)
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    15 May 2014
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    commodity derivatives
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    additive processes
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    time change
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    Ornstein-Uhlenbeck
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    time-dependent and mean-reverting jumps
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    eigenfunction expansions
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