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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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