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math.PR2011
How singular are moment generating functions?
Eberhard Mayerhofer
This short note concerns the possible singular behaviour of moment generating functions of finite measures at the boundary of their domain of existence. We look closer at Example 7…
math.PR2009★ 10 cited
Affine Diffusion Processes: Theory and Applications
Damir Filipovic, Eberhard Mayerhofer
We revisit affine diffusion processes on general and on the canonical state space in particular. A detailed study of theoretic and applied aspects of this class of Markov processes…