Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
From MaRDI portal
Publication:2295017
DOI10.3150/18-BEJ1086zbMath1466.60116arXiv1806.07657OpenAlexW3003169868MaRDI QIDQ2295017
Publication date: 12 February 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.07657
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quasi Ornstein-Uhlenbeck processes
- Spectral representations of infinitely divisible processes
- Stochastic integration and \(L^ p-\)theory of semimartingales
- A general version of the fundamental theorem of asset pricing
- On stationary solutions of delay differential equations driven by a Lévy process.
- Multivariate stochastic delay differential equations and CAR representations of CARMA processes
- Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
- Fractional Lévy processes with an application to long memory moving average processes
- Stochastic Processes and Long Range Dependence
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Bias in the sample autocorrelations of fractional noise
- On the prediction of fractional Brownian motion
- Long-Memory Processes
- Long-Range Dependence and Self-Similarity
- Long Range Dependence
- No‐arbitrage implies power‐law market impact and rough volatility
- The lyapunov spectrum and stable manifolds for stochastic linear delay equations
This page was built for publication: Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes