Nonlinear stochastic integrals for hyperfinite Lévy processes
نویسندگان
چکیده
منابع مشابه
Nonlinear stochastic integrals for hyperfinite Lévy processes
We develop a notion of nonlinear stochastic integrals for hyperfinite Lévy processes, and use it to find exact formulas for expressions which are intuitively of the form Pt s=0 φ(ω, dls, s) and Qt s=0 ψ(ω, dls, s), where l is a Lévy process. These formulas are then applied to geometric Lévy processes, infinitesimal transformations of hyperfinite Lévy processes, and to minimal martingale measure...
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ژورنال
عنوان ژورنال: Logic and Analysis
سال: 2008
ISSN: 1863-3617,1863-3625
DOI: 10.1007/s11813-007-0004-7