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A class of CTRWs: Compound fractional Poisson processes
The compound Poisson process Markovian and L\'evy semi-Markov extension
2011/3/31
This chapter is an attempt to present a mathematical theory of compound fractional Poisson processes. The chapter begins with the characterization of a well-known L\'evy process: The compound Poisson ...
Martingale representation for Poisson processes with applications to minimal variance hedging
Martingale representation Poisson processes applications minimal variance hedging
2010/10/18
We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$...