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Showing 1 to 2 of 2 for “"Semimartingal"”.
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Diffusion Processes with Reflection
… mit Dimension kleiner als eins das System kein Semimartingal ist. Eine detaillierte Untersuchung des Partikelsystems, insbesondere Feller Eigenschaften, ist in Kapitel 3 enthalten. Die schwache Konvergenz des Partikelsystems gegen die Wasserstein Diffusion wird in Kapitel 4 bewiesen. Dabei wird …
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The Symbol of a Markov Semimartingale
… is then used to derive a quick approach to the semimartingale characteristics as well as the generator of the process under consideration. Finally we give some examples of how our methods work for processes used in mathematical finance.