A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence
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Publication:2441148
DOI10.1007/s11425-013-4626-9zbMath1295.91050MaRDI QIDQ2441148
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
subordinator; long-range dependence; Lévy process; gamma process; asset pricing model; activity time; asymptotical self-similarities; inverse-gamma process
60G51: Processes with independent increments; Lévy processes
60F05: Central limit and other weak theorems
60G18: Self-similar stochastic processes
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