Stochastic calculus for convoluted Lévy processes
نویسندگان
چکیده
منابع مشابه
Stochastic Calculus for Convoluted Lévy Processes
Abstract. We develop a stochastic calculus for processes which are built by convoluting a pure jump, zero expectation Lévy process with a Volterra-type kernel. This class of processes contains, for example, fractional Lévy processes as studied in Marquardt (2006b). The integral which we introduce is a Skorohod integral. Nonetheless we avoid the technicalities from Malliavin calculus and white n...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2008
ISSN: 1350-7265
DOI: 10.3150/07-bej115