Semimartingale Characteristics

  • Ernst Eberlein
  • Jan Kallsen
Part of the Springer Finance book series (FINANCE)


The stochastic calculus in Chap.  3 is based on integration. Small Lévy-like bits of processes are pieced together to yield something that behaves differently from any Lévy process on a global scale.


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Authors and Affiliations

  • Ernst Eberlein
    • 1
  • Jan Kallsen
    • 2
  1. 1.Department of Mathematical StochasticsUniversity of FreiburgFreiburg im BreisgauGermany
  2. 2.Department of MathematicsKiel UniversityKielGermany

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