Superposed Ornstein-Uhlenbeck processes

DOI10.31390/JOSA.1.2.06MaRDI QIDQ6923222zbMATH OpenFDO

Authors Julius Esunge, Jean Auguste Muhau

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/JOSA.1.2.06

zbMATH Keywords

Barndorff-Nielsen and Shephard modelBlack-Scholes-Merton modelOrnstein-Uhlenbeck driven by Lévy processuperposed Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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