Concepedia

Chaotic and predictable representations for Lévy processes

David Nualart, Wim Schoutens

Stochastic Processes and their Applications · 2000 · 253 citations · 8 references

Concepts

EngineeringMathematicsDynamical SystemsProbability TheoryStochastic ProcessesBrownian MotionChaos TheoryContinuous-time Stochastic ProcessesLévy ProcessesMarkov ProcessesStochastic Differential EquationsLévy - Itô DecompositionLévy - Khintchine FormulaLévy MeasureLévy-driven Stochastic Differential EquationsLévy-itô Decomposition

References

8

The Askey-scheme of hypergeometric orthogonal polynomials and its q-analogue

Roelof Koekoek, René F. Swarttouw · arXiv (Cornell University) · 1996 · 1.3K citations · Full text

Natural Sciences, Mathematics, Algebra +9

Lévy processes, polynomials and martingales

Wim Schoutens, Jozef L. Teugels · Communications in Statistics Stochastic Models · 1998 · 164 citations

Engineering, Decision Sciences, Financial Economics +15

Risk Theory with the Gamma Process

François Dufresne, Hans U. Gerber, Elias S. W. Shiu · Astin Bulletin · 1991 · 149 citations · Full text

Business, Finance, Risk Management +15

Processes of Meixner type

B. Grigelionis · Lithuanian Mathematical Journal · 1999 · 106 citations

Engineering, Chemical Engineering, Manufacturing Engineering +4

Reinsurance and ruin

David Dickson, Howard R. Waters · Insurance Mathematics and Economics · 1996 · 66 citations