User menu

Accès à distance ? S'identifier sur le proxy UCLouvain

Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes

Primary tabs

download
  • Open access
  • PDF
  • 265.60 K
Vrins, Frédéric [UCL]

We derive the characteristic function (CF) of integrals of Lévy-driven Ornstein-Uhlenbeck processes with time-inhomogeneous coefficients. The resulting expression takes the form of the exponential integral of the time-changed characteristic exponent. This result is applied to some examples leading to closed form expressions. In particular, it drastically simplifies the calculations of the CF of integrated Compound Poisson processes compared to the standard approach relying on joint conditioning on inter-arrival jump times.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès libre
Publication date 2016
Language Anglais
Journal information "Statistics & Probability Letters" - Vol. 116, no.2016, p. 55-61 (14/5/2016)
Peer reviewed yes
Publisher Elsevier BV * North-Holland ((Netherlands) Amsterdam)
issn 0167-7152
Publication status Publié
Affiliations UCL - SSH/IMMAQ/LFIN-Louvain Finance
UCL - SSH/IMMAQ/CORE-Center for operations research and econometrics
Keywords Integral of stochastic process ; Lévy process ; characteristic function
Links
Bibliographic reference Vrins, Frédéric. Characteristic Function of Time-Inhomogeneous Lévy-Driven Ornstein-Uhlenbeck Processes. In: Statistics & Probability Letters, Vol. 116, no.2016, p. 55-61 (14/5/2016)
Permanent URL http://hdl.handle.net/2078.1/173975