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Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
4 references·3 citing·23 second hop
Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations (2006)Some classes of multivariate infinitely d…Tempering stable processes (2006)Tempering stable processesGeneralized Gamma Convolutions and Related Classes of Distributions and Densities (1992)Generalized Gamma Convolution…Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions (1979)Self-decomposability of the g…On the infinite divisibility of the lognormal distribution (1977)On the infinite divisibility …STOCHASTIC INTEGRALS WITH RESPECT TO L´ EVY PROCESSES AND INFINITELY DIVISIBLE DISTRIBUTIONS (2011)STOCHASTIC INTEGRALS WITH RES…Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples (2008)Generalized gamma convolution…Additive processes and stochastic integrals (2006)Additive processes and stocha…Limit Theorems for Stochastic Processes (1987)On the definition, stationary distribution and second order structure of positive semidefinite Ornstein–Uhlenbeck type processes (2009)Fractional Lévy-driven Ornstein–Uhlenbeck processes and stochastic differential equations (2011)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk Theory. (1971)On simulation from infinitely divisible distributions (1982)Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2004)Exponential functionals of Lévy processes (2005)Stochastic Volatility and Stochastic Leverage (2009)Estimation of the characteristics of a Lévy process observed at arbitrary frequency (2010)Integer‐valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes (2014)Continuous Martingales and Brownian Motion (1999)Explosive Poisson Shot Noise Processes with Applications to Risk Reserves (1995)Multivariate subordination, self-decomposability and stability (2001)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Some stationary processes in discrete and continuous time (1998)Student processes (2005)Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (2008)
this work references cited by second hop

References

  • 2006Tempering stable processes545 cited
  • 1992Generalized Gamma Convolutions and Related Classes of Distributions and Densities318 cited
  • 1977On the infinite divisibility of the lognormal distribution166 cited
  • 1979Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions135 cited

Cited by

  • 2008Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples69 cited
  • 2006Additive processes and stochastic integrals66 cited
  • 2011STOCHASTIC INTEGRALS WITH RESPECT TO L´ EVY PROCESSES AND INFINITELY DIVISIBLE DISTRIBUTIONS51 cited

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