A Stroock formula for a certain class of Lévy processes and applications to finance.

Eddahbi, M.; Solé, J.L.; Vives, J.

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Asymptotic properties of power variations of Lévy processes

Jean Jacod (2007)

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We determine the asymptotic behavior of the realized power variations, and more generally of sums of a given function evaluated at the increments of a Lévy process between the successive times Δ for = 0,1,...,. One can elucidate completely the first order behavior, that is the convergence in probability of such sums, possibly after normalization and/or centering: it turns out that there is a rather wide variety of possible behaviors, depending on the structure of jumps and on the...

Stochastic differential equations with boundary conditions driven by a Poisson noise.

Alabert, Aureli, Marmolejo, Miguel Ángel (2004)

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The distribution of the interval between events of a Cox process with shot noise intensity.

Dassios, Angelos, Jang, Jiwook (2008)

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Jump telegraph processes and financial markets with memory.

Ratanov, Nikita (2007)

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