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math.PR2017
Equivalent martingale measures for Lévy-driven moving averages and related processes
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen
In the present paper we obtain sufficient conditions for the existence of equivalent martingale measures for Lévy-driven moving averages and other non-Markovian jump processes. The…
math.PR2017★ 2 cited
Continuous-time models with an autoregressive structure
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen +1
In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution pr…