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Harnesses, Lévy bridges and Monsieur Jourdain · Study

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ArticleHarnesses, Lévy bridges and Monsieur Jourdain

Roger Mansuy2004

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Articlebronze2004

Harnesses, Lévy bridges and Monsieur Jourdain

Roger Mansuy · Marc Yor

29 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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References

2005Stochastic Integration and Differential Equations 2006Optimal portfolio for an insider in a market driven by Lévy processes§1987Extension of Stochastic Integrals 1988Time Reversal on Levy Processes 2004A Parallel between Brownian Bridges and Gamma Bridges

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2007Models for Insider Trading with Finite Utility

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Year2004

Typearticle

Published2004-09-29

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations29

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2004.09.001

openalex_workW2093967571

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