Subordination of Predictable Compensators

DOI10.1080/07362994.2015.1086657MaRDI QIDQ3459227zbMATH OpenOpenAlexFDO

Authors Henry Chiu

Publication date 21 December 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.7547

zbMATH Keywords

general time changesgeneric stochastic volatilitypredictable compensatorspure jump processesrandom filtrationsrandom measuresskew Brownian motionsubordination

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Random measures (60G57) Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65)

Abstract: We consider general subordination and obtain the formula of the subordinated predictable compensator. An example of application is given.

Cites work

• Bilateral gamma distributions and processes in financial mathematics
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• On the constructions of the skew Brownian motion

This page was built for publication: Subordination of Predictable Compensators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3459227)