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Stochastic processes / Markov chain / Fourier transform / Martingale / Itō diffusion / Spectral theory of ordinary differential equations / Statistics / Mathematical analysis / Markov processes


DISCRETIZATION SCHEMES FOR SUBORDINATED PROCESSES CLAUDIO ALBANESE AND ALEXEY KUZNETSOV A BSTRACT. We introduce a new class of continuous time lattices which are suitable for local Levy and stochastic volatility processe
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Document Date: 2014-03-17 15:14:24

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LX / Lh / Lg / Bernstein / /

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Canada / /

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Product Issues / Product Recall / Person Communication and Meetings / /

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National University of Singapore / /

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finance literature / self-adjoint operator / integral operators / order differential operator / /

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National Science and Engineering Council of Canada / Department of Mathematics / National University of Singapore / Ontario Council of Graduate Studies / /

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Stephan Lawi / CLAUDIO ALBANESE / ALEXEY KUZNETSOV / Peter Carr / Ken Jackson / Oliver Chen / /

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Wronskian / P∞ / Cowon D2+ Portable Audio Device / /

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n=0 The algorithm / PDF / /

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