Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case

DOI10.1016/J.CNSNS.2009.06.010MaRDI QIDQ718268zbMATH OpenOpenAlexFDO

Authors Guido Germano, Mauro Politi, Enrico Scalas, R. L. Schilling

Publication date 23 September 2011

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2009.06.010

zbMATH Keywords

Monte Carloeconophysicscontinuous-time random walkprobabilistic modelstochastic integralsstochastic modelstochastic theoryprobabilistic simulationstochastic jump process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic integrals (60H05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Renewal theory (60K05)

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• Option pricing when underlying stock returns are discontinuous
• Random walks on lattices. II
• Semi-Markov Risk Models for Finance, Insurance and Reliability
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Cited in

(6)

• Asymptotic properties and numerical simulation of multidimensional Lévy walks
• Method of calculating densities for isotropic ballistic Lévy walks
• Quenched trap model for Lévy flights
• Random numbers from the tails of probability distributions using the transformation method
• The Kakutani–Hellinger affinity of processes of Itô processes driven by Poisson random measures
• Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review

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• mlrnd

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