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Sibirskii Zhurnal Industrial'noi Matematiki, 2013, Volume 16, Number 4, Pages 21–28 (Mi sjim801)  
Random walks with missing summands

G. I. Belyavskiia, N. V. Danilovaa, N. D. Nikonenkob

a South Federal University, 105/42 Bolshaya Sadovaya st., 344006 Rostov-on-Don
b The South Russian Institute of the Russian Presidential Academy of National Economy and Public Administration, 70 Pushkinskaya st., 344002 Rostov-on-Don
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Abstract: We consider a new model of the behavior of the cost of a risky asset in which a random walk with missing summands is used, formulas for the computation of the process of fair prices for a financial commitment in the stationary and nonstationary cases are deduced.
Keywords: random walk, martingale measure, Fourier integral, Esscher transform.
Received: 10.07.2013
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: G. I. Belyavskii, N. V. Danilova, N. D. Nikonenko, “Random walks with missing summands”, Sib. Zh. Ind. Mat., 16:4 (2013), 21–28
Citation in format AMSBIB
\Bibitem{BelDanNik13}
\by G.~I.~Belyavskii, N.~V.~Danilova, N.~D.~Nikonenko
\paper Random walks with missing summands
\jour Sib. Zh. Ind. Mat.
\yr 2013
\vol 16
\issue 4
\pages 21--28
\mathnet{http://mi.mathnet.ru/sjim801}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3234789}
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    		Сибирский журнал индустриальной математики
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