Simplified calculus for semimartingales: multiplicative compensators and changes of measure
DOI10.1016/j.spa.2023.04.010zbMath1516.60009arXiv2006.12765OpenAlexW3036455429MaRDI QIDQ6157012
Publication date: 19 June 2023
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.12765
Mellin transformprocess with independent incrementssemimartingale representationGirsanovpredictable compensatorLévy-Khintchin
Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Portfolio theory (91G10)
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