Variance Gamma (nonlocal) equations
Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case. The connection to special functions is in focus...
| الحاوية / القاعدة: | Modern Stochastics: Theory and Applications |
|---|---|
| المؤلف الرئيسي: | |
| التنسيق: | مقال |
| اللغة: | الإنجليزية |
| منشور في: |
VTeX
2023-09-01
|
| الموضوعات: | |
| الوصول للمادة أونلاين: | https://www.vmsta.org/doi/10.15559/23-VMSTA232 |