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math.PR2016★ 4 cited
On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria
Jan Kallsen, Paul Krühner
The dynamics of a Markov process are often specified by its infinitesimal generator or, equivalently, its symbol. This paper contains examples of analytic symbols which do not dete…
math.PR2006★ 93 cited
Variance-optimal hedging for processes with stationary independent increments
Friedrich Hubalek, Jan Kallsen, Leszek Krawczyk
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although…