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

DOI10.1016/j.spa.2017.09.022zbMath1391.60035arXiv1704.08553MaRDI 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 processes; infinite divisibility; moving averages; stochastic exponentials; equivalent local martingale measures

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G51: Processes with independent increments; Lévy processes

60G10: Stationary stochastic processes

60H05: Stochastic integrals

60G57: Random measures