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

DOI10.1007/s00605-013-0490-5zbMath1274.60017MaRDI QIDQ2377337

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

zbMATH Keywords

Lévy processes; Brownian motion; affine group; continuous convolution semigroups of probability measures

Mathematics Subject Classification ID

22E25: Nilpotent and solvable Lie groups

60B15: Probability measures on groups or semigroups, Fourier transforms, factorization

Cites Work

• Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time
• Uniqueness of embedding into a Gaussian semigroup and a Poisson semigroup with determinate jump law on a simply connected nilpotent Lie group
• Fourier analysis and limit theorems for convolution semigroups on a locally compact group
• The domains of partial attraction of probabilities on groups and on vector spaces
• Probabilities on the Heisenberg group: limit theorems and Brownian motion
• Über die Erzeugung von Faltungshalbgruppen auf beliebigen lokalkompakten Gruppen
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