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

DOI10.1007/S00605-013-0490-5MaRDI QIDQ2377337zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• scientific article; zbMATH DE number 2016904 (Why is no real title available?)
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• scientific article; zbMATH DE number 3090543 (Why is no real title available?)
• Fourier analysis and limit theorems for convolution semigroups on a locally compact group
• Probabilities on the Heisenberg group: limit theorems and Brownian motion
• Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time
• 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
• The domains of partial attraction of probabilities on groups and on vector spaces
• Uniqueness of embedding into a Gaussian semigroup and a Poisson semigroup with determinate jump law on a simply connected nilpotent Lie group
• Über die Erzeugung von Faltungshalbgruppen auf beliebigen lokalkompakten Gruppen

Cited in

(2)

• Unicité du plongement d'une mesure de probabilité dans un semi-groupe de convolution gaussien. Cas non-abélien
• scientific article; zbMATH DE number 2016904 (Why is no real title available?)

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