Uniqueness of the embedding continuous convolution semigroup of a Gaussian probability measure on the affine group and an application in mathematical finance

DOI10.1007/S00605-013-0490-5zbMATH Open1274.60017OpenAlexW1984808171MaRDI QIDQ2377337FDOQ2377337

Authors: Daniel Neuenschwander 

Publication date: 28 June 2013

Published in: Monatshefte für Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00605-013-0490-5

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zbMATH Keywords

Brownian motionaffine groupcontinuous convolution semigroups of probability measuresLévy processes

Mathematics Subject Classification ID

Nilpotent and solvable Lie groups (22E25) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Cites Work

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• Über die Erzeugung von Faltungshalbgruppen auf beliebigen lokalkompakten Gruppen
• Uniqueness of embedding into a Gaussian semigroup and a Poisson semigroup with determinate jump law on a simply connected nilpotent Lie group
• Retrieval of the law of a random payment stream by the joint law of its final value and the interest rate at some fixed time

Cited In (2)

• Title not available (Why is that?)
• Unicité du plongement d'une mesure de probabilité dans un semi-groupe de convolution gaussien. Cas non-abélien

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