Spectral representation of Gaussian semimartingales

DOI10.1007/S10959-009-0246-2zbMath1245.60043OpenAlexW2052576840MaRDI QIDQ1047164

Andreas Basse

Publication date: 4 January 2010

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-009-0246-2

zbMATH Keywords

spectral representationGaussian semimartingalesGaussian Volterra processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Generalizations of martingales (60G48) Random measures (60G57)

Related Items (12)

Lévy driven moving averages and semimartingales ⋮ On infinitely divisible semimartingales ⋮ Mixtures of higher-order fractional Brownian motions ⋮ On the Gaussian Volterra processes with power-type kernels ⋮ On stochastic integration for volatility modulated Lévy-driven Volterra processes ⋮ Quasi Ornstein-Uhlenbeck processes ⋮ Stationary infinitely divisible processes ⋮ Path and semimartingale properties of chaos processes ⋮ Power variation for Gaussian processes with stationary increments ⋮ Empirical likelihood methods for discretely observed Gaussian moving averages ⋮ Spectral representation of Gaussian semimartingales ⋮ Path properties of a generalized fractional Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Lévy driven moving averages and semimartingales
• Gaussian moving averages and semimartingales
• Spectral representation of Gaussian semimartingales
• Spectral representations of infinitely divisible processes
• Stochastic integration with respect to Volterra processes
• Gaussian moving averages, semimartingales and option pricing.
• Fractional Lévy processes with an application to long memory moving average processes
• Semimartingales gaussiennes — application au probleme de l'innovation
• Arbitrage with Fractional Brownian Motion
• A representation theorem for symmetric stable processes and stable measures on H
• Stochastic calculus with respect to Gaussian processes

This page was built for publication: Spectral representation of Gaussian semimartingales