Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications

Nguyen Van Thu, To Anh Dung, Duong Ton Dam and Nguyen Huu Thai
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Nguyen Van Thu: Department of Mathematics, International University, HCM City, Vietnam
To Anh Dung: Department of Mathematics, University of natural sciences, HCM City, Vietnam
Duong Ton Dam: Department of Mathematics, University of natural sciences, HCM City, Vietnam
Nguyen Huu Thai: Department of Mathematics and Statistics, University of Economics, HCM City, Vietnam

Chapter 15 in Stochastic Processes and Applications to Mathematical Finance, 2007, pp 245-258 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn the present paper we study multiply selfdecomposable probability measures (SDPM) and processes and prove their integral representations. Similarly, the multiple s-selfdecomposability case is treated. Our results extend some of known results due to Urbanik, K., Jurek, Z., Rosinski, J. and Rajput, B.S. As an application, following Cartea and Howinson ([1]) we introduce the Damped-Lévy-mixed - stable process which leads to a mathematical model for option pricing.

Keywords: Stochastic Calculus; Mathematical Finance; Insider Trading; Stochastic Control; Real Options; Filtering Model of Credit Risks; Stochastic Growth Models (search for similar items in EconPapers)
Date: 2007
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