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On integrals with respect to Levy processes

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  • Küchler, Uwe

Abstract

Assume L is a non-deterministic real valued Lévy process and f is a smooth function on [0,t]

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  • Küchler, Uwe, 2003. "On integrals with respect to Levy processes," SFB 373 Discussion Papers 2003,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:200312
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    Cited by:

    1. Gapeev Pavel V. & Küchler Uwe, 2006. "On Markovian short rates in term structure models driven by jump-diffusion processes," Statistics & Risk Modeling, De Gruyter, vol. 24(2), pages 255-271, December.
    2. Küchler, Uwe & Naumann, Eva, 2003. "Markovian short rates in a forward rate model with a general class of Lévy processes," SFB 373 Discussion Papers 2003,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Gapeev, Pavel V. & Küchler, Uwe, 2003. "On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes," SFB 373 Discussion Papers 2003,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

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