5 citations · 5 across the 2 of their papers we have counts for
2 papers
math.PR2015
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
José E. Figueroa-López, Yankeng Luo
In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump c…
math.PR2011★ 5 cited
Small-time expansions for local jump-diffusion models with infinite jump activity
José E. Figueroa-López, Yankeng Luo, Cheng Ouyang
We consider a Markov process , which is the solution of a stochastic differential equation driven by a Lévy process and an independent Wiener process . Under some regular…