Laplace Transforms for Integrals of Markov Processes
From MaRDI portal
Publication:5290632
zbMath1090.60068arXiv0710.1599MaRDI QIDQ5290632
Claudio Albanese, Stephan Lawi
Publication date: 28 April 2006
Full work available at URL: https://arxiv.org/abs/0710.1599
Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Diffusion processes (60J60) Continuous-time Markov processes on discrete state spaces (60J27) Classical hypergeometric functions, ({}_2F_1) (33C05) Transition functions, generators and resolvents (60J35) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)
Related Items
Pricing CIR yield options by conditional moment matching, Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes, Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions, Closed form modeling of evolutionary rates by exponential Brownian functionals, CVA and vulnerable options pricing by correlation expansions, PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH, Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions, Continuous and tractable models for the variation of evolutionary rates, Estimating doubly stochastic Poisson process with affine intensities by Kalman filter, Uncertain Volatility Models with Stochastic Bounds
