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scientific article; zbMATH DE number 3610570

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Publication:4176256
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zbMath0393.60080MaRDI QIDQ4176256

Bronius Grigelionis

Publication date: 1978


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Characterization of Markov Additive ProcessesMarkov Additive ProcessSemimartingal


Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Markov processes (60J99)


Related Items (6)

On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model ⋮ Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory ⋮ Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model ⋮ Lévy systems and the time value of ruin for Markov additive processes ⋮ The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model ⋮ Necessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent increments




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