Probability Surveys

Reviewing alternative characterizations of Meixner process

E. Mazzola and P. Muliere

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Abstract

Based on the first author’s recent PhD thesis entitled “Profiling processes of Meixner type”, [50] a review of the main characteristics and characterizations of such particular Lévy processes is extracted, emphasizing the motivations for their introduction in literature as reliable financial models. An insight on orthogonal polynomials is also provided, together with an alternative path for defining the same processes. Also, an attempt of simulation of their trajectories is introduced by means of an original R simulation routine.

Article information

Source
Probab. Surveys, Volume 8 (2011), 127-154.

Dates
First available in Project Euclid: 28 July 2011

Permanent link to this document
https://projecteuclid.org/euclid.ps/1311860831

Digital Object Identifier
doi:10.1214/11-PS177

Mathematical Reviews number (MathSciNet)
MR2846900

Zentralblatt MATH identifier
1244.60036

Subjects
Primary: 60G51: Processes with independent increments; Lévy processes 60G07: General theory of processes 60G05: Foundations of stochastic processes
Secondary: 05E35

Keywords
Lévy processes Meixner process Esscher transform equivalent martingale measure orthogonal polynomials Meixner-Pollaczeck polynomials subordinator

Citation

Mazzola, E.; Muliere, P. Reviewing alternative characterizations of Meixner process. Probab. Surveys 8 (2011), 127--154. doi:10.1214/11-PS177. https://projecteuclid.org/euclid.ps/1311860831


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