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

DOI10.1080/17442508.2015.1012081MaRDI QIDQ2804013zbMATH OpenOpenAlexFDO

Authors Almut E. D. Veraart

Publication date 27 April 2016

Published in Stochastics (Search for Journal in Brave)

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

zbMATH Keywords

stationaritystochastic partial differential equationsinfinite divisibilityrandom fieldsstochastic volatilitymulti-self-similaritymixed moving average fieldstype G distributiongeneralized Lamperti transformLévy basis

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)

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.

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Cited in

(4)

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

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