Representation of a Class of Semimartingales as Stable Integrals

DOI10.1137/S0040585X97977252zbMath0956.60055OpenAlexW4231387865MaRDI QIDQ4954397

Pio Andrea Zanzotto

Publication date: 6 June 2000

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97977252

zbMATH Keywords

stochastic integralsemimartingalepoint measure\(\alpha\)-stable Lévy motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48) Stochastic integrals (60H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

On stochastic differential equations driven by a Cauchy process and other stable Lévy motions ⋮ On one-dimensional stochastic differential equations driven by stable processes ⋮ A note on 𝐿₂-estimates for stable integrals with drift ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by \(\alpha \)-stable motions

This page was built for publication: Representation of a Class of Semimartingales as Stable Integrals