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Title:

Exponential functionals of Lévy processes with jumps

Document type:
Zeitschriftenaufsatz
Author(s):
Behme, A.
Keywords:
COGARCH volatility, exponential functional, generalized gamma convolution, generalized Ornstein-Uhlenbeck process, integral mapping, Levy process, selfdecomposability, stationarity
Dewey Decimal Classification:
510 Mathematik
Journal title:
Latin American Journal of Probability and Mathematical Statistics
Year:
2015
Journal volume:
12
Year / month:
2015-03
Pages contribution:
375-397
Reviewed:
nein
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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