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| 概要 |
The mimimal entropy martingale measure for the stochastic process de ned as the exponential of an additive process with the structure of semimartingale will be investigated. Special attention will be ...paid to the case when the underlying additive process has xed times of discontinuity. The investigation of this paper will establish a uni ed way that is applicable both to the case of L evy processes and that of the sums of independent random variables.続きを見る
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Mendeley出力
JMI2010B-1