Stochastic integrals in additive processes and application to semi-Lévy processes
By Ken-iti Sato. 2004
57 citations recorded by the source corpus.
Subfields: Computational Theory and Mathematics, Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/ad0d30a199133d0c36c0b2db8ce4d1d7edf67ed8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Computational Theory and Mathematics
In Finance
- Claudia Klüppelberg
- Vicky Fasen
- Ole E. Barndorff-Nielsen
- V. Todorov
- Robert Stelzer
- Ken-iti Sato
- M. Maejima
- Peter J. Brockwell
In Mathematical Physics
- Claudia Klüppelberg
- Vicky Fasen
- Ole E. Barndorff-Nielsen
- Ken-iti Sato
- M. Maejima
- N. Shephard
- Robert Stelzer
- Peter J. Brockwell
Citations in the corpus
- Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations (2006, background): “By Theorem 4.7 of Sato (2004),ð1 s log 1 t dX t ¼ ð1 s dX t ð1 t 1 u du ¼ ð1 s du u ðu s dX t ¼ ð1 s X u u du X s log 1 s : We have X s log(1=s) !”
- STOCHASTIC INTEGRALS WITH RESPECT TO L´ EVY PROCESSES AND INFINITELY DIVISIBLE DISTRIBUTIONS (2011, methodology): “B f(s)dX (μ) s for bounded Borel sets B as an independently scattered random measure, as Urbanik and Woyczyński [58] did employing the Nikodým theorem (see [21, 36, 47, 48]).”
- Extremes of supOU Processes (2007, result): “Analogously to the proof of Sato [22], Theorem 4.”