Neuenschwander, Daniel (2013). Uniqueness of the Embedding Continuous Convolution Semigroup of a Gaussian Probability Measure on the Affine Group and an Application in Mathematical Finance. Monatshefte für Mathematik, 171(1), pp. 91-101. Springer Vienna 10.1007/s00605-013-0490-5
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Let {μ(i)t}t≥0 ( i=1,2 ) be continuous convolution semigroups (c.c.s.) of probability measures on Aff(1) (the affine group on the real line). Suppose that μ(1)1=μ(2)1 . Assume furthermore that {μ(1)t}t≥0 is a Gaussian c.c.s. (in the sense that its generating distribution is a sum of a primitive distribution and a second-order differential operator). Then μ(1)t=μ(2)t for all t≥0 . We end up with a possible application in mathematical finance.
Item Type: |
Journal Article (Original Article) |
|---|---|
Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Neuenschwander, Daniel |
Subjects: |
500 Science > 510 Mathematics |
ISSN: |
0026-9255 |
Publisher: |
Springer Vienna |
Language: |
English |
Submitter: |
Lutz Dümbgen |
Date Deposited: |
03 Oct 2014 17:06 |
Last Modified: |
05 Dec 2022 14:37 |
Publisher DOI: |
10.1007/s00605-013-0490-5 |
Web of Science ID: |
000321872700005 |
BORIS DOI: |
10.7892/boris.58672 |
URI: |
https://boris.unibe.ch/id/eprint/58672 |
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