Nonlinear Lévy processes and their characteristics
Work
Year: 2015
Type: article
Abstract: We develop a general construction for nonlinear Lévy processes with given characteristics. More precisely, given a set $\Theta$ of Lévy triplets, we construct a sublinear expectation on Skorohod space... more
Authors Ariel Neufeld, Marcel Nutz
Institutions ETH Zurich, Columbia University
Cites: 27
Cited by: 75
Related to: 10
FWCI: 8.047
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: green