Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (Q2450704): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
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| English | 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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