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Reviewing alternative characterizations of Meixner process. (English) Zbl 1244.60036
Summary: Based on the first author’s recent PhD thesis entitled “Profiling processes of Meixner type” [Università Commerciale L. Bocconi, Milano (2010)], a review of the main characteristics and characterizations of such particular Lévy processes is given, emphasizing the motivations for their introduction in literature as reliable financial models. An insight on orthogonal polynomials is also provided, together with an alternative path for defining the same processes. Also, an attempt to simulate their trajectories is introduced by means of an original R simulation routine.

MSC:
60G07 General theory of stochastic processes
60G51 Processes with independent increments; Lévy processes
60G05 Foundations of stochastic processes
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