Topics Related to Gamma Processes

DOI10.1142/9789812774637_0005MaRDI QIDQ5487019zbMATHOpenAlexFDO

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

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)

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Cited in

(6)

• Space-time boundedness and asymptotic behaviors of the densities of \textit{CME}-subordinators
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• scientific article; zbMATH DE number 1090468 (Why is no real title available?)
• On the laws of first hitting times of points for one-dimensional symmetric stable Lévy processes
• A new uncertain insurance model with variational lower limit
• On subclasses of infinitely divisible distributions on R related to hitting time distributions of 1-dimensional generalized diffusion processes

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