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4 papers · 2 filters
Probability measures, Lévy measures and analyticity in time
Ole E. Barndorff-Nielsen, Friedrich Hubalek
We investigate the relation of the semigroup probability density of an infinite activity Lévy process to the corresponding Lévy density. For subordinators, we provide three methods…
Esscher transform and the duality principle for multidimensional semimartingales
Ernst Eberlein, Antonis Papapantoleon, Albert N. Shiryaev
The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem…
The pattern of genetic hitchhiking under recurrent mutation
Joachim Hermisson, Peter Pfaffelhuber
Genetic hitchhiking describes evolution at a neutral locus that is linked to a selected locus. If a beneficial allele rises to fixation at the selected locus, a characteristic poly…
On a class of optimal stopping problems for diffusions with discontinuous coefficients
Ludger Rüschendorf, Mikhail A. Urusov
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of th…