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5. Time Dependency Modelling Using Time Change with Applications in Energy Markets

Time Dependency Modelling Using Time Change with Applications in Energy Markets

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：kk289952728

【摘 要】

：

　　We study the theory of additive subordination,which is a technique for constructing time-dependent Markov processes by time changing timeindependent Markov

【作 者】

：

Li Lingfei 

【机 构】

：

The Chinese Univ.of Hong Kong

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We study the theory of additive subordination,which is a technique for constructing time-dependent Markov processes by time changing timeindependent Markov processes with additive subordinators.

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