Semimartingale Characteristics

Ernst Eberlein and Jan Kallsen
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Ernst Eberlein: University of Freiburg
Jan Kallsen: Kiel University

Chapter Chapter 4 in Mathematical Finance, 2019, pp 249-298 from Springer

Abstract: Abstract The stochastic calculus in Chap. 3 is based on integration. Small Lévy-like bits of processes are pieced together to yield something that behaves differently from any Lévy process on a global scale.

Date: 2019
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DOI: 10.1007/978-3-030-26106-1_4

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