Stationary and multi-self-similar random fields with stochastic volatility

DOI10.1080/17442508.2015.1012081zbMATH Open1337.60104arXiv1402.2882OpenAlexW1562476552MaRDI QIDQ2804013FDOQ2804013

Almut E. D. Veraart

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: This paper introduces stationary and multi-self-similar random fields which account for stochastic volatility and have type G marginal law. The stationary random fields are constructed using volatility modulated mixed moving average fields and their probabilistic properties are discussed. Also, two methods for parameterising the weight functions in the moving average representation are presented: One method is based on Fourier techniques and aims at reproducing a given correlation structure, the other method is based on ideas from stochastic partial differential equations. Moreover, using a generalised Lamperti transform we construct volatility modulated multi-self-similar random fields which have type G distribution.

Full work available at URL: https://arxiv.org/abs/1402.2882

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zbMATH Keywords

stationaritystochastic partial differential equationsinfinite divisibilityrandom fieldsstochastic volatilitymulti-self-similarity[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+basis&go=Go L��vy basis]mixed moving average fieldstype G distributiongeneralized Lamperti transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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Cited In (4)

• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
• Hybrid simulation scheme for volatility modulated moving average fields
• Stationary self-similar random fields on the integer lattice.
• Mixing properties of multivariate infinitely divisible random fields

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