4. Mathematics
  5. Probability

Frederic Utzet

Mathematics – Probability

Scientist

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Scientist

Universitat AutÓnoma De Barcelona

A family of martingales generated by a process with independent increments

Mathematics – Probability
Scientific paper

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A new look at the Heston characteristic function

Mathematics – Probability
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Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities

Mathematics – Probability
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Lévy area for Gaussian processes: A double Wiener-Itô integral approach

Mathematics – Probability
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Multiple Stratonovich integral and Hu--Meyer formula for Lévy processes

Mathematics – Probability
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