Forum Navigation: Select WHO'S ON: 09:19 PM General Forum Technical Forum Economics Forum Numerical Methods Forum Trading Forum The Quantitative Finance FAQs Proje... Student Forum Book And Research Paper Forum Programming and Software Forum The Quantitative Finance Code Libra... Careers Forum Events Board Brainteaser Forum Off Topic Forum and Website Bugs and Suggesti... Wilmott / BookMap Competition

 new topic
 search
 jobs board
 magazine
 news
 help
 file share
 audio visual
 articles
 blogs
 wiki
 forums
 home

 FORUMS > Student Forum < refresh >
 Topic Title: doleans dade exponential Created On Sun Mar 16, 08 11:52 PM Topic View: Branch View Threaded (All Messages) Threaded (Single Messages) Linear

Alekk
Member

Posts: 97
Joined: Sep 2007

Sun Mar 16, 08 11:52 PM

Hi all,

I am struggling with the following exercice. Suppose that X_t is a Levy process with characteristic triplet (b, c, mu(dx)). Then it is not hard to see that there exists a Levy process Z_t such that

where is the Doleans-Dade exponential of Z_t. How would you compute the characteristic triplet of Z_t. It is quite clear that the brownian part of Z_t is the same as the brownian part of X_t. What about the drift and the Levy measure ?

many thanks,
Alekk

-------------------------
Don't take life so serious, son, it ain't nohow permanent.

Stale
Senior Member

Posts: 209
Joined: Nov 2006

Tue Mar 18, 08 12:25 PM

Hi there Alekk,

the result you are looking for can be found in Goll & Kallsen, "Optimal portfolios for logarithmic utility", Stochastic Proces. Appl. nr.89, 2000.

Alternatively, look up the result in Financial Modelling with Jump Diffusions by Cont/Tankov.

Regars,
Stale

Alekk
Member

Posts: 97
Joined: Sep 2007

Wed Mar 19, 08 01:29 PM

Thank you

-------------------------
Don't take life so serious, son, it ain't nohow permanent.

schulist
Junior Member

Posts: 1
Joined: Jan 2006

Thu Jan 21, 16 09:40 PM

What are the stochastic exponential triplet formulas for multivariate processes?