On inverse-power Poisson functionals

DOI10.1080/17442508.2021.1914617MaRDI QIDQ5086895zbMATH OpenOpenAlexFDO

Authors Weixuan Xia

Publication date 8 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2021.1914617

zbMATH Keywords

asymptotic estimatesinverse-power functionalsPoisson processesprobability distributions

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65)

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Cites work

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• Calculation of Gauss Quadrature Rules
• Calculation of Gauss-Kronrod quadrature rules
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• Exponential functionals of Lévy processes
• scientific article; zbMATH DE number 2127961 (Why is no real title available?)
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• On continuity properties of the law of integrals of Lévy processes
• On the integral of fractional Poisson processes
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
• The average of a negative-binomial Lévy process and a class of Lerch distributions
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Cited in

(3)

• Crypto inverse-power options and fractional stochastic volatility
• A recursive method for functionals of Poisson processes
• The Wills functional for Poisson processes

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Uses Software

• k.c

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