Lévy Processes and Stochastic Calculus

By A. Novikov. 2005

342 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/28a34ecc22108238160a3e8c4d66e836c1310863

Citations in the corpus

• PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (2012, neutral): “, Bertsimas and Lo [1998], Almgren and Chriss [2001], Almgren [2003], Obizhaeva and Wang [2006], Schied and Schöneborn [2009], Alfonsi et al.”
• Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise (2009, neutral): “[3], [7], [43], for the case of real valued integrands, [40], [4] for the case of Hilbert valued integrands and [40] and [32], for the case of Banach valued integrands.”
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008, neutral): “CGMY Cxe1{x>0} CΓ(−Y )[MY − (M − iξ)Y Y ∈ (0, 1) ∪ (1, 2), +C|x|e1{x<0} +GY − (G + iξ)Y ], C,G > 0, M > 1 Y ∈ (0, 1) : FV; Y ∈ (1, 2) : IV; IX = [−M,G] (2.”