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arXiv · 1208.1611

COGARCH: Symbol, Generator and Characteristics

Alexander Schnurr
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Abstract

We describe the technique how to use the symbol in order to calculate the generator and the characteristics of an Itô process. As an example we analyze the COGARCH process which is used to model financial data.

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Alexander Schnurr. 2012-08-08. COGARCH: Symbol, Generator and Characteristics. https://arxiv.org/abs/1208.1611

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