Calculating infinitesimal generators

DOI10.31390/JOSA.2.4.04MaRDI QIDQ6922992zbMATH OpenFDO

Authors Majnu John, Yihren Wu

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://digitalcommons.lsu.edu/josa/vol2/iss4/4

zbMATH Keywords

diffusion processinfinitesimal generatorItô's lemmajump-diffusion process

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites work

• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1173683 (Why is no real title available?)
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• Introduction to stochastic integration.
• Probability Models for DNA Sequence Evolution
• Some mathematical models from population genetics. École d'Été de Probabilités de Saint-Flour XXXIX-2009

Cited in

(3)

• Time reversal of reflected Brownian motion with Poissonian resetting
• Optimal portfolio choice in jump-diffusion markets with longevity risk
• New results of it Itô's formula using q-calculus

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