Stochastic integration on the real line

DOI10.1137/S0040585X97986540zbMATH Open1306.60061MaRDI QIDQ2877880FDOQ2877880

Authors: Andreas Basse-O'Connor, Svend-Erik Graversen, J. Pedersen 

Publication date: 27 August 2014

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

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zbMATH Keywords

stationary processessemimartingalesstochastic integrationLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Stochastic integrals (60H05)

Cited In (12)

• On the conditional small ball property of multivariate Lévy-driven moving average processes
• Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
• Integrability conditions for space-time stochastic integrals: theory and applications
• Pathwise decompositions of Brownian semistationary processes
• A Lévy-driven rainfall model with applications to futures pricing
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Additive processes and stochastic integrals
• Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• Gamma kernels and BSS/LSS processes
• Likelihood theory for the graph Ornstein-Uhlenbeck process
• Stationary infinitely divisible processes

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