On mixed exponential processes and martingales

DOI10.1007/BF02465543zbMath0944.60051MaRDI QIDQ1280855

Bronius Grigelionis

Publication date: 18 September 2000

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

martingalesmixed distributionsexponential processesLévy-processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (1)

Processes of Meixner type

Cites Work

• Statistical properties of the generalized inverse Gaussian distribution
• On the asymptotic behavior of mixed Poisson processes
• Hyperbolic distributions in finance
• An Analytical Treatment of Exponential Families of Stochastic Processes with Independent Stationary Increments
• ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES
• On mixed poisson processes and martingales
• A Note on Electrical Networks and the Inverse Gaussian Distribution
• Option Pricing With V. G. Martingale Components¹
• Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
• THE POPULATION FREQUENCIES OF SPECIES AND THE ESTIMATION OF POPULATION PARAMETERS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On mixed exponential processes and martingales