| dc.date.accessioned | 2013-03-12T08:16:27Z | |
| dc.date.available | 2013-03-12T08:16:27Z | |
| dc.date.issued | 2005 | en_US |
| dc.date.submitted | 2009-11-25 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10580 | |
| dc.description.abstract | We develop a notion of nonlinear stochastic integrals for hyperfinite Lévy processes, and use it to find exact formulas for expressions which intuitively are given as sums and products of functions of the increments of such processes. These formulas are then applied to geometric Lévy processes, infinitesimal transformations of hyperfinite Lévy processes, and to minimal martingale measures. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2005). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Nonlinear Stochastic Integrals for Hyperfinite Lévy Processes | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-25 | en_US |
| dc.rights.holder | Copyright 2005 The Author(s) | |
| dc.creator.author | Lindstrøm, Tom | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23624 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97294 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10580/1/pm25-05.pdf | |