Generalized fractional Lévy processes with fractional Brownian motion limit

DOI10.1239/aap/1449859802zbMath1333.60074OpenAlexW2190312570MaRDI QIDQ2786429

Claudia Klüppelberg, Muneya Matsui

Publication date: 12 February 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1449859802

zbMATH Keywords

functional central limit theoremfractional Brownian motionregular variationstochastic integralsstochastic volatility modelshot-noise processfractional Ornstein-Uhlenbeck processsample path propertiesgeneralized fractional Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Sample path properties (60G17) Stochastic integrals (60H05) Functional limit theorems; invariance principles (60F17)

Related Items

Maximal Inequalities for Fractional Lévy and Related Processes ⋮ Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion ⋮ Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) ⋮ Affine representations of fractional processes with applications in mathematical finance ⋮ Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise ⋮ Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk ⋮ Dilatively stable stochastic processes and aggregate similarity ⋮ On fractional Lévy processes: tempering, sample path properties and stochastic integration ⋮ An inverse problem for infinitely divisible moving average random fields ⋮ A generalised Itō formula for Lévy-driven Volterra processes

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