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 Probability Surveys > Vol. 8 (2011) open journal systems 

Reviewing alternative characterizations of Meixner process

Emanuele Mazzola, Department of Decision Sciences, Bocconi University, Via Röntgen 1, 20136 Mila
Pietro Muliere, Department of Decision Sciences, Bocconi University via R

Based on the first author’s recent PhD thesis entitled “Profiling processes of Meixner type”, [50] a review of the main characteristics and characterizations of such particular Lévy processes is extracted, 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 of simulation of their trajectories is introduced by means of an original R simulation routine.

AMS 2000 subject classifications: Primary 60G51, 60G07, 60G05; secondary 05E35.

Keywords: Lévy processes, Meixner process, Esscher transform, equivalent martingale measure, orthogonal polynomials, Meixner-Pollaczeck polynomials, subordinator.

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Mazzola, Emanuele, Muliere, Pietro, Reviewing alternative characterizations of Meixner process, Probability Surveys, 8, (2011), 127-154 (electronic). DOI: 10.1214/11-PS177.


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