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math.PR2025
An extended CIR process with stochastic discontinuities
Claudio Fontana, Simone Pavarana, Thorsten Schmidt
We study an extension of the Cox-Ingersoll-Ross (CIR) process that incorporates jumps at deterministic dates, referred to as stochastic discontinuities. Our main motivation stems f…
math.PR2018
Martingale spaces and representations under absolutely continuous changes of probability
Anna Aksamit, Claudio Fontana
In a fully general setting, we study the relation between martingale spaces under two locally absolutely continuous probabilities and prove that the martingale representation prope…