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arXiv:1208.1611 [math.PR]AbstractReferencesReviewsResources

COGARCH: Symbol, Generator and Characteristics

Alexander Schnurr

Published 2012-08-08Version 1

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

Comments: 12 pages; invited talk at the 8th international conference of ISAAC
Categories: math.PR
Subjects: 60J75, 60G51, 60J25
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