Uniqueness of the Embedding Continuous Convolution Semigroup of a Gaussian Probability Measure on the Affine Group and an Application in Mathematical Finance
| Data(s) |
2013
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|---|---|
| Resumo |
Let {μ(i)t}t≥0 ( i=1,2 ) be continuous convolution semigroups (c.c.s.) of probability measures on Aff(1) (the affine group on the real line). Suppose that μ(1)1=μ(2)1 . Assume furthermore that {μ(1)t}t≥0 is a Gaussian c.c.s. (in the sense that its generating distribution is a sum of a primitive distribution and a second-order differential operator). Then μ(1)t=μ(2)t for all t≥0 . We end up with a possible application in mathematical finance. |
| Formato |
application/pdf |
| Identificador |
http://boris.unibe.ch/58672/1/art%253A10.1007%252Fs00605-013-0490-5.pdf Neuenschwander, Daniel (2013). Uniqueness of the Embedding Continuous Convolution Semigroup of a Gaussian Probability Measure on the Affine Group and an Application in Mathematical Finance. Monatshefte für Mathematik, 171(1), pp. 91-101. Springer-Verlag Wien 10.1007/s00605-013-0490-5 <http://dx.doi.org/10.1007/s00605-013-0490-5> doi:10.7892/boris.58672 info:doi:10.1007/s00605-013-0490-5 urn:issn:0026-9255 |
| Idioma(s) |
eng |
| Publicador |
Springer-Verlag Wien |
| Relação |
http://boris.unibe.ch/58672/ |
| Direitos |
info:eu-repo/semantics/restrictedAccess |
| Fonte |
Neuenschwander, Daniel (2013). Uniqueness of the Embedding Continuous Convolution Semigroup of a Gaussian Probability Measure on the Affine Group and an Application in Mathematical Finance. Monatshefte für Mathematik, 171(1), pp. 91-101. Springer-Verlag Wien 10.1007/s00605-013-0490-5 <http://dx.doi.org/10.1007/s00605-013-0490-5> |
| Palavras-Chave | #510 Mathematics |
| Tipo |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion PeerReviewed |
