A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence

DOI10.1007/s11425-013-4626-9zbMath1295.91050MaRDI QIDQ2441148

Ding Cheng Wang

Publication date: 21 March 2014

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-013-4626-9

zbMATH Keywords

subordinator; long-range dependence; Lévy process; gamma process; asset pricing model; activity time; asymptotical self-similarities; inverse-gamma process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60F05: Central limit and other weak theorems

60G18: Self-similar stochastic processes

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