Topics Related to Gamma Processes

DOI10.1142/9789812774637_0005zbMATH Open1103.60052OpenAlexW2329023909MaRDI QIDQ5487019FDOQ5487019

Authors: Makoto Yamazato 

Publication date: 18 September 2006

Published in: Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789812774637_0005

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zbMATH Keywords

diffusion processtransition probabilitymixture of exponential distributionsinfinite divisible distributionLévy processPólya density

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Financial applications of other theories (91G80)

Cited In (6)

• On subclasses of infinitely divisible distributions on R related to hitting time distributions of 1-dimensional generalized diffusion processes
• A new uncertain insurance model with variational lower limit
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• Title not available (Why is that?)
• Space-time boundedness and asymptotic behaviors of the densities of \textit{CME}-subordinators
• On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes

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