Change of time and change of measure
Change of time and change of measure
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时间变更和措施变更
DOI:
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发表时间:
2010
期刊:
影响因子:
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通讯作者:
A. Shiryaev
中科院分区:
文献类型:
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作者:
O. Barndorff;A. Shiryaev
Random Change of Time Integral Representations and Change of Time in Stochastic Integrals Semimartingales: Basic Notions, Structures, Elements of Stochastic Analysis Stochastic Exponential and Stochastic Logarithm. Cumulant Processes Processes with Independent Increments. Levy Processes Change of Measure. General Facts Change of Measure in Models Based on Levy Processes Change of Time in Semimartingale Models and Models Based on Brownian Motion and Levy Processes Conditionally Gaussian Distributions and Stochastic Volatility Models for the Discrete-time Case Martingale Measures in the Stochastic Theory of Arbitrage Change of Measure in Option Pricing Conditionally Brownian and Levy Processes. Stochastic Volatility Models A Wider View. Ambit Processes and Fields, and Volatility/Intermittency