Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes

Frédéric Vrins

doi:10.1016/j.spl.2016.04.013

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Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes

Frédéric Vrins

Year: 2016 Journal: Statistics & Probability Letters Vol: 116 Pages: 55-61 Publisher: Elsevier BV

DOI: 10.1016/j.spl.2016.04.013

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Keywords:

Ornstein–Uhlenbeck process Mathematics Function (biology) Lévy process Statistical physics Stochastic process Mathematical analysis Applied mathematics Statistics Physics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Stochastic processes and statistical mechanics

Physical Sciences → Mathematics → Mathematical Physics

Probability and Risk Models

Social Sciences → Decision Sciences → Management Science and Operations Research

Characteristic function of time-inhomogeneous Lévy-driven Ornstein–Uhlenbeck processes

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