Superposition of COGARCH processes

DOI10.1016/j.spa.2014.11.004zbMath1339.60035arXiv1305.2296OpenAlexW2086385027MaRDI QIDQ2258831

Carsten Chong, Anita Behme, Claudia Klüppelberg

Publication date: 27 February 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.2296

zbMATH Keywords

Lévy processesstationarityinfinite divisibilityrandom measuressuperpositionsstochastic volatility processLévy basesCOGARCH processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Stochastic integrals (60H05) Random measures (60G57)

Related Items (2)

Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Integrability conditions for space-time stochastic integrals: theory and applications

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