Time change representation of stochastic integrals

Theory of Probability and its Applications

Volumn 46, Issue 3, 2002, Pages 522-528

  Kallsen, J ^a   Shiryaev, A N ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Cumulant process; Stable L vy motions; Stochastic integral; Time change

Indexed keywords

EID: 0036039526     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0040585X97979184     Document Type: Article

References (10)

1. Optimal portfolios for logarithmic utility
2. Intégrales stochastiques par rapport dune semi-martingale vectorielle et changements de filtration
3. Some time change representations of stable integrals, via predictable transformations of local martingales
4. On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals