On the conditional small ball property of multivariate Lévy-driven moving average processes (Q511124): Difference between revisions

@@ Property / author @@
-Mikko S. Pakkanen
@@ Property / author: Mikko S. Pakkanen / rank @@
-Normal rank
@@ Property / author @@
+Mikko S. Pakkanen
@@ Property / author: Mikko S. Pakkanen / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 60G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G17
@@ Property / Mathematics Subject Classification ID: 60G17 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G51
@@ Property / Mathematics Subject Classification ID: 60G51 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6684573
@@ Property / zbMATH DE Number: 6684573 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+small ball probability
@@ Property / zbMATH Keywords: small ball probability / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+conditional full support
@@ Property / zbMATH Keywords: conditional full support / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+moving average process
@@ Property / zbMATH Keywords: moving average process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multivariate Lévy process
@@ Property / zbMATH Keywords: multivariate Lévy process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+convolution determinant
@@ Property / zbMATH Keywords: convolution determinant / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+fractional Lévy process
@@ Property / zbMATH Keywords: fractional Lévy process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lévy-driven OU process
@@ Property / zbMATH Keywords: Lévy-driven OU process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lévy copula
@@ Property / zbMATH Keywords: Lévy copula / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Lévy mixing
@@ Property / zbMATH Keywords: Lévy mixing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multivariate subordination
@@ Property / zbMATH Keywords: multivariate subordination / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2232769129
@@ Property / OpenAlex ID: W2232769129 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03698
@@ Property / arXiv ID: 1601.03698 / rank @@
+Normal rank
@@ Property / cites work @@
+Regularization, uniqueness and existence of solutions of Volterra equations of the first kind
+Normal rank
@@ Property / cites work @@
+Small deviations of general Lévy processes
@@ Property / cites work: Small deviations of general Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
+Normal rank
@@ Property / cites work @@
+Multivariate subordination, self-decomposability and stability
+Normal rank
@@ Property / cites work @@
+Q2871440
@@ Property / cites work: Q2871440 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Gaussian moving averages and semimartingales
@@ Property / cites work: Gaussian moving averages and semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy driven moving averages and semimartingales
@@ Property / cites work: Lévy driven moving averages and semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Integration on the Real Line
@@ Property / cites work: Stochastic Integration on the Real Line / rank @@
+Normal rank
@@ Property / cites work @@
+Q3847304
@@ Property / cites work: Q3847304 / rank @@
+Normal rank
@@ Property / cites work @@
+A generalised Itō formula for Lévy-driven Volterra processes
+Normal rank
@@ Property / cites work @@
+Maximal Inequalities for Fractional Lévy and Related Processes
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for convoluted Lévy processes
+Normal rank
@@ Property / cites work @@
+Pricing by hedging and no-arbitrage beyond semimartingales
+Normal rank
@@ Property / cites work @@
+Fractional Processes as Models in Stochastic Finance
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+A one-dimensional diffusion hits points fast
@@ Property / cites work: A one-dimensional diffusion hits points fast / rank @@
+Normal rank
@@ Property / cites work @@
+Brownian moving averages have conditional full support
+Normal rank
@@ Property / cites work @@
+An Elementary Proof of Titchmarsh's Convolution Theorem
+Normal rank
@@ Property / cites work @@
+Q5820721
@@ Property / cites work: Q5820721 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Full Support of Gaussian Processes with Stationary Increments
+Normal rank
@@ Property / cites work @@
+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
+Normal rank
@@ Property / cites work @@
+Consistent price systems and face-lifting pricing under transaction costs
+Normal rank
@@ Property / cites work @@
+Q2774021
@@ Property / cites work: Q2774021 / rank @@
+Normal rank
@@ Property / cites work @@
+Characterization of dependence of multidimensional Lévy processes using Lévy copulas
+Normal rank
@@ Property / cites work @@
+Two results on continuity and boundedness of stochastic convolutions
+Normal rank
@@ Property / cites work @@
+Advanced Linear Algebra
@@ Property / cites work: Advanced Linear Algebra / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
+Normal rank
@@ Property / cites work @@
+Fractional Lévy processes with an application to long memory moving average processes
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Integrals and Conditional Full Support
@@ Property / cites work: Stochastic Integrals and Conditional Full Support / rank @@
+Normal rank
@@ Property / cites work @@
+BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
+Normal rank
@@ Property / cites work @@
+Spectral representations of infinitely divisible processes
+Normal rank
@@ Property / cites work @@
+Sticky processes, local and true martingales
@@ Property / cites work: Sticky processes, local and true martingales / rank @@
+Normal rank
@@ Property / cites work @@
+On path properties of certain infinitely divisible processes
+Normal rank
@@ Property / cites work @@
+On series representations of infinitely divisible random vectors
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+On the small deviations of a Lévy process
@@ Property / cites work: On the small deviations of a Lévy process / rank @@
+Normal rank
@@ Property / cites work @@
+The Sensitivity of the Matrix Exponential
@@ Property / cites work: The Sensitivity of the Matrix Exponential / rank @@
+Normal rank
@@ Property / cites work @@
+Q3874718
@@ Property / cites work: Q3874718 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:511124