COGARCH: Symbol, Generator and Characteristics

2012/08/08 by Alexander Schnurr, Schnurr, Alexander
Mathematics · #60G51 #60J25 (secondary) #60J75 (primary) #FOS: Mathematics #Point processes and geometric inequalities #Probability (math.PR)

paper · pdf · doi:10.48550/arxiv.1208.1611

openalex publication_date 2012/08/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Citations

• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

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