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2011 Reviewing alternative characterizations of Meixner process
E. Mazzola, P. Muliere
Probab. Surveys 8: 127-154 (2011). DOI: 10.1214/11-PS177


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.


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E. Mazzola. P. Muliere. "Reviewing alternative characterizations of Meixner process." Probab. Surveys 8 127 - 154, 2011.


Published: 2011
First available in Project Euclid: 28 July 2011

zbMATH: 1244.60036
MathSciNet: MR2846900
Digital Object Identifier: 10.1214/11-PS177

Primary: 60G05 , 60G07 , 60G51
Secondary: 05E35

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

Rights: Copyright © 2011 The Institute of Mathematical Statistics and the Bernoulli Society

Vol.8 • 2011
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