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math.PR2022
From Markov Processes to Semimartingales
Sebastian Rickelhoff, Alexander Schnurr
In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, i…
math.PR2015
Comparison of time-inhomogeneous Markov processes
Ludger Rueschendorf, Alexander Schnurr, Viktor Wolf
Comparison results are given for time-inhomogeneous Markov processes with respect to function classes induced stochastic orderings. The main result states comparison of two process…
math.PR2012★ 4 cited
COGARCH: Symbol, Generator and Characteristics
Alexander Schnurr
We describe the technique how to use the symbol in order to calculate the generator and the characteristics of an Itô process. As an example we analyze the COGARCH process which is…