Shiryaev, Albert N.; Kallsen, Jan - In: Finance and Stochastics 6 (2002) 4, pp. 397-428
In this paper two kinds of cumulant processes are studied in a general setting. These processes generalize the cumulant of an infinitely divisible random variable and they appear as the exponential compensator of a semimartingale. In a financial context cumulant processes lead to a generalized...