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Stochastic Differential Equations Driven by Lévy Processes

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Part of the Use R! book series (USE R)

Abstract

This chapter presents stochastic differential equations driven by Lévy processes. After an introduction to the main properties of Lévy processes and their measures, a detailed exposition of the most important models like NIG, IG, variance gamma, etc, are introduced. Simulation schemes and estimation for exponential Lévy models and diffusion processes with compound Poisson jumps are considered with examples. Full R code for completing the above analyses with yuima package is provided.

Keywords

Gamma Process Infinite Divisibility Inverse Gaussian Process Compound Poisson Process CGMY Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Economics, Management and Quantitative MethodsUniversity of MilanMilanItaly
  2. 2.Graduate School of Mathematical SciencesUniversity of TokyoTokyoJapan

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