Login
- Dokumenttyp:
- Bachelorarbeit
- Autor(en):
- Vesenmayer, Bernhard
- Titel:
- COGARCH from a semimartingale point of view
- Abstract:
- The notion of semimartingale characteristics is not yet a standard tool to analyse stochastic processes. Its practical use is shown on the example of the process class COGARCH. This has recently been introduced by Klüppelberg, Lindner and Maller (2004) as an extension of the well-known class of GARCH processes to continuous time. Semimartingale characteristics are computed and used to obtain the infinitesimal generator of the main process of COGARCH.
- Gutachter:
- Prof. Dr. Kallsen
- Jahr:
- 2005
- Sprache:
- en
- Hochschule / Universität:
- Technische Universität München
- Fakultät:
- Fakultät für Mathematik
- Format:
- Text
BibTeX