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. 91101. Springer Vienna 10.1007/s0060501304905

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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 secondorder 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: 
00269255 
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/s0060501304905 
Web of Science ID: 
000321872700005 
BORIS DOI: 
10.7892/boris.58672 
URI: 
https://boris.unibe.ch/id/eprint/58672 