Stationary and self-similar processes driven by Lévy processes
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References listed on IDEAS
- Tina Hviid Rydberg, 1997. "A note on the existence of unique equivalent martingale measures in a Markovian setting," Finance and Stochastics, Springer, vol. 1(3), pages 251-257.
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- Wiktorsson, Magnus, 2002. "Simulation of stochastic integrals with respect to Lévy processes of type G," Stochastic Processes and their Applications, Elsevier, vol. 101(1), pages 113-125, September.
- Rubenthaler, Sylvain & Wiktorsson, Magnus, 2003. "Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 108(1), pages 1-26, November.
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KeywordsFractal spectral density Normal inverse Gaussian Second-order stationary increments Type G;
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