Catalytic discrete state branching models and related limit theorems
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Cites work
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- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
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- scientific article; zbMATH DE number 193487 (Why is no real title available?)
- scientific article; zbMATH DE number 1971723 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3383360 (Why is no real title available?)
- scientific article; zbMATH DE number 3410334 (Why is no real title available?)
- A Limit Theorem for Discrete Galton-Watson Branching Processes with Immigration
- A class of measure-valued branching diffusions in a random medium
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A continuous super-Brownian motion in a super-Brownian medium
- A theory of the term structure of interest rates
- A time-varying Markov chain model of term structure.
- Affine processes and applications in finance
- Branching processes in Lévy processes: The exploration process
- Catalytic and mutually catalytic branching
- Construction of immigration superprocesses with dependent spatial motion from one-di\-men\-sion\-al excursions
- Continuous branching processes and spectral positivity
- Continuous state branching processes
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Martingale measures and stochastic calculus
- Measure-valued branching processes with immigration
- Ornstein-Uhlenbeck type processes and branching processes with immigration
- Skew convolution semigroups and affine Markov processes
- Stopping times and tightness
Cited in
(14)- Limit theorems for flows of branching processes
- Continuous-state branching processes with collisions: first passage times and duality
- Catalytic branching processes via spine techniques and renewal theory
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
- Near critical catalyst reactant branching processes with controlled immigration
- Limit theorems for continuous-time branching flows
- Fluctuation limit theorems for catalytic CBI-processes
- A limit theorem of two-type Galton-Watson branching processes with immigration
- Limit theorems for continuous-state branching processes with immigration
- Mutually catalytic branching in the plane: Finite measure states
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Continuous-state branching processes with immigration
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
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