Small-time expansions for local jump-diffusion models with infinite jump activity
نویسندگان
چکیده
منابع مشابه
Small-time Expansions for Local Jump-diffusion Models with Infinite Jump Activity
We consider a Markov process X which is the solution of a stochastic differential equation driven by a Lévy process Z and an independent Wiener process W . Under some regularity conditions, including non-degeneracy of the diffusive and jump components of the process as well as smoothness of the Lévy density of Z outside any neighborhood of the origin, we obtain a small-time secondorder polynomi...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2014
ISSN: 1350-7265
DOI: 10.3150/13-bej518