Self-similar processes with independent increments associated with Lévy and Bessel processes
By Monique Jeanblanc, Jim Pitman, Marc Yor. 2002
71 citations recorded by the source corpus.
Subfields: Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/eac12064bf563dc59ca681ca1d0c48079c779cc9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Lancelot F. James
- Bernard Roynette
- Marc Yor
- Vadim Linetsky
- Daniel Dufresne
- Hiroyuki Matsumoto
- Pierre Patie
- Ashkan Nikeghbali
In Mathematical Physics
- Lancelot F. James
- Bernard Roynette
- Marc Yor
- Jim Pitman
- Neil O'Connell
- Igor Prünster
- Antonio Lijoi
- Michael I. Jordan
Citations in the corpus
- Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples (2007, background): “Oxford University Press, New York.”
- SELF‐DECOMPOSABILITY AND OPTION PRICING (2007, unknown): “Dev.) for NIG By Name Name σν θ γ NDays amzn 0.8847 2.1919 -4.5988 0.4538 14 (0.0194) (2.4009) (21.596) (0.0183) ba 0.6154 4.7638 -3.5501 0.4078 12 (0.0573) (15.3077) (37.722) (0.0167) bkx 0.3463 1.4036 -0.2597 0.4725 12 (0.0121) (0.2763) (0.0142) (0.0194) c 0.5665 3.5821 -2.3455 0.4724 14 (0.0552) ”