Some remarkable properties of gamma processes

MaRDI QIDQ5506182zbMATH OpenFDO

Authors Marc Yor

Publication date 28 January 2009

zbMATH Keywords

absolute continuitybridgesgamma processinverse local timetime changes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65)

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• Hedging jump risk, expected returns and risk premia in jump-diffusion economies
• Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes
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• Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing
• Quasi-invariance properties of a class of subordinators

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