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math.PRNov 1, 2014
authors
  • Henry Chiu
institutions
  • Humboldt-Universität zu Berlin
arXiv abstractPDF
paper

Subordination of Predictable Compensators

arXiv:1411.7547 · doi:10.1080/07362994.2015.1086657

Abstract

We consider general subordination and obtain the formula of the subordinated predictable compensator. An example of application is given.

References in corpus (2)

  • Bilateral Gamma distributions and processes in financial mathematics
  • On the constructions of the skew Brownian motion
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