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Distributional properties of solutions of dVt = Vt-dUt + dLt with Lévy noise
9 references·0 citing·29 second hop
Distributional properties of solutions of dVt = Vt-dUt + dLt with Lévy noise (2011)Distributional properties of solutions of…Stationary solutions of the stochastic differential equation dVt=Vt−dUt+dLt with Lévy noise (2010)Stationary solutions of the s…Ornstein–Uhlenbeck Processes and Extensions (2009)Ornstein–Uhlenbeck Processes …On Continuity Properties of the Law of Integrals of Lévy Processes (2008)On Continuity Properties of t…No Arbitrage and General Semimartingales (2008)No Arbitrage and General Semi…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Lévy integrals and the stationarity of generalised Ornstein–Uhlenbeck processes (2005)Lévy integrals and the statio…Stochastic Integration with Jumps (2002)Stochastic Integration with J…Perpetuities with thin tails (1996)Perpetuities with thin tailsInegalites de normes pour les integrales stochastiques (1978)Inegalites de normes pour les…Continuous Martingales and Brownian Motion (1991)Limit Theorems for Stochastic Processes (2003)Risk-neutral compatibility with option prices (2009)Feynman–Kac representation for Hamilton–Jacobi–Bellman IPDE (2015)WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS (2015)Stochastic Integration and Differential Equations. Second Edition. (2005)Stochastic Integration on the Real Line (2014)An equilibrium characterization of the term structure (1977)Methods of Mathematical Finance (1998)GARCH modelling in continuous time for irregularly spaced time series data (2008)Continuous Time Approximations to GARCH and Stochastic Volatility Models (2009)Modelling of extremal events in insurance and finance (1994)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Integrated insurance risk models with exponential Lévy investment (2007)Method of moment estimation in the COGARCH(1,1) model (2007)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Exponential Functionals of Brownian Motion and Related Processes (2001)On the density of exponential functionals of Lévy processes (2013)Bernstein-gamma functions and exponential functionals of Lévy processes (2018)On the infinite divisibility of the lognormal distribution (1977)Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (2005)On a Theorem of Breiman and a Class of Random Difference Equations (2007)Extreme Value Theory for GARCH Processes (2009)Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)Market viability via absence of arbitrage of the first kind (2012)Stochastic Integration with Respect to a Sequence of Semimartingales (2006)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)
this work references cited by second hop

References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2002Stochastic Integration with Jumps200 cited
  • 2009Ornstein–Uhlenbeck Processes and Extensions107 cited
  • 1996Perpetuities with thin tails104 cited
  • 2008No Arbitrage and General Semimartingales96 cited
  • 2005Lévy integrals and the stationarity of generalised Ornstein–Uhlenbeck processes80 cited
  • 2008On Continuity Properties of the Law of Integrals of Lévy Processes53 cited
  • 2010Stationary solutions of the stochastic differential equation dVt=Vt−dUt+dLt with Lévy noise33 cited
  • 1978Inegalites de normes pour les integrales stochastiques23 cited

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