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math.PR2015
Limit behaviour of the truncated pathwise Fourier-transformation of Lévy-driven CARMA processes for non-equidistant discrete time observations
Robert Stelzer, Żywilla fechner
This paper considers a continuous time analogue of the classical autoregressive moving average processes, Lévy-driven CARMA processes. First we describe limiting properties of the…
math.PR2015
A BSDE arising in an exponential utility maximization problem in a pure jump market model
Carla Mereu, Robert Stelzer
We consider the problem of utility maximization with exponential preferences in a market where the traded stock/risky asset price is modelled as a Lévy-driven pure jump process (i.…