Search Results - subject:"additive processes"

A Girsanov transformed Clark-Ocone-Haussmann type formula for L1-pure jump additive processes and its application to portfolio optimization

Handa, Masahiro; Sakuma, Noriyoshi; Suzuki, Ryoichi - In: Annals of finance 20 (2024) 3, pp. 329-352

Persistent link: https://www.econbiz.de/10015188744

Additive logistic processes in option pricing

Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724

Persistent link: https://www.econbiz.de/10012665200

Optimal portfolio selection in an Itô-Markov additive market

Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks 7 (2019) 1, pp. 1-13

described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into …

Persistent link: https://www.econbiz.de/10013200452

Optimal portfolio selection in an Itô-Markov additive market

Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks : open access journal 7 (2019) 1/34, pp. 1-13

described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into …

Persistent link: https://www.econbiz.de/10012015778

First passage of a Markov additive process and generalized Jordan chains

D'Auria, Bernardo; Kella, Offer; Ivanovs, Jevgenijs; … - Departamento de Estadistica, Universidad Carlos III de … - 2010

In this paper we consider the first passage process of a spectrally negative Markov additive process (MAP). The law of this process is uniquely characterized by a certain matrix function, which plays a crucial role in fluctuation theory. We show how to identify this matrix using the theory of...

Persistent link: https://www.econbiz.de/10008672248