Equivalent martingale measures for Lévy-driven moving averages and related processes

DOI10.1016/j.spa.2017.09.022zbMath1391.60035arXiv1704.08553OpenAlexW2963495882MaRDI QIDQ1639665

Y. Aharonov

Publication date: 13 June 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.08553

zbMATH Keywords

Lévy processesinfinite divisibilitymoving averagesstochastic exponentialsequivalent local martingale measures

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Stochastic integrals (60H05) Random measures (60G57)

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