Abstract
In this chapter, we present stochastic calculus for mixed processes (also often called jump-diffusions), i.e., loosely speaking they are processes whose dynamics are driven by a pair of processes consisting of a Brownian motion and a compound Poisson process. We give some applications to finance.
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© 2009 Springer-Verlag London
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Jeanblanc, M., Yor, M., Chesney, M. (2009). Mixed Processes. In: Mathematical Methods for Financial Markets. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-84628-737-4_10
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DOI: https://doi.org/10.1007/978-1-84628-737-4_10
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Publisher Name: Springer, London
Print ISBN: 978-1-84882-819-3
Online ISBN: 978-1-84628-737-4
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