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math.PR2016
Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes
Frédéric Vrins
Distributional properties -including Laplace transforms- of integrals of Markov processes received a lot of attention in the literature. In this paper, we complete existing results…
math.PR2016
Conic Martingales from Stochastic Integrals
Frédéric Vrins, Monique Jeanblanc
In this paper we introduce the concept of conic martingales}. This class refers to stochastic processes having the martingale property, but that evolve within given (possibly time-…