Lifting Lévy processes to hyperfinite random walks

DOI10.1016/J.BULSCI.2006.02.001MaRDI QIDQ2370809zbMATH OpenOpenAlexWikidataFDO

Authors S. Albeverio, Frederik Herzberg

Publication date 29 June 2007

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2006.02.001

zbMATH Keywords

LiftingNonstandard analysisHyperfinite random walksLévy processesLévy -Khinchin formulas

Mathematics Subject Classification ID

Stochastic integrals (60H05) Nonstandard measure theory (28E05) Nonstandard models in mathematics (03H05)

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Cited in

(8)

• A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets
• Hyperfinite Lévy Processes
• The allure of infinitesimals: Sergio Albeverio and nonstandard analysis
• Lévy processes on a first order model
• First steps towards an equilibrium theory for Lévy financial markets
• Nonlinear stochastic integrals for hyperfinite Lévy processes
• Hyperfinite stochastic integration for Lévy processes with finite-variation jump part
• Nonstandard characterization of convergence in law for $D[0,1]$-valued random variables

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