COGARCH: Symbol, Generator and Characteristics

zbMath1343.60113arXiv1208.1611MaRDI QIDQ5500298

Alexander Schnurr

Publication date: 5 August 2015

Full work available at URL: https://arxiv.org/abs/1208.1611

zbMATH Keywords

generatorsymbolItō processCOGARCH process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

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