Lifting Lévy processes to hyperfinite random walks

DOI10.1016/J.BULSCI.2006.02.001zbMATH Open1125.28016OpenAlexW2054637437WikidataQ57543020 ScholiaQ57543020MaRDI QIDQ2370809FDOQ2370809

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

Recommendations

• Lévy processes on a first order model
• Hyperfinite Lévy Processes
• A nonstandard Lévy-Khintchine formula and Lévy processes
• Jump–Type Lévy Processes
• scientific article; zbMATH DE number 1639846
• Hyperfinite stochastic integration for Lévy processes with finite-variation jump part
• scientific article; zbMATH DE number 1862467
• scientific article; zbMATH DE number 2115108
• scientific article; zbMATH DE number 1402217
• scientific article; zbMATH DE number 775168

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Conversion from Nonstandard to Standard Measure Spaces and Applications in Probability Theory
• Adapted Probability Distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• A non-standard representation for Brownian motion and Ito integration
• Nonstandard Construction of the Stochastic Integral and Applications to Stochastic Differential Equations.I
• Hyperfinite Lévy Processes
• Foundations of infinitesimal stochastic analysis
• Title not available (Why is that?)
• A global intrinsic characterization of Brownian local time
• Title not available (Why is that?)

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
• Nonlinear stochastic integrals for hyperfinite Lévy processes
• First steps towards an equilibrium theory for Lévy financial markets
• Hyperfinite stochastic integration for Lévy processes with finite-variation jump part
• Nonstandard characterization of convergence in law for $D[0,1]$-valued random variables

This page was built for publication: Lifting Lévy processes to hyperfinite random walks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2370809)