Representation of Gaussian semimartingales with applications to the covariance function

DOI10.1080/17442500903251857zbMATH Open1219.60038OpenAlexW2165260876MaRDI QIDQ3080992FDOQ3080992

Authors: Andreas Basse-O'Connor 

Publication date: 11 March 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500903251857

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zbMATH Keywords

Gaussian processescovariance functionstationary processessemimartingales

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Generalizations of martingales (60G48)

Cites Work

• Arbitrage with Fractional Brownian Motion
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• Equivalence of Volterra processes.
• Gaussian moving averages and semimartingales
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• Lévy driven moving averages and semimartingales
• Gaussian moving averages, semimartingales and option pricing.
• Semimartingales gaussiennes — application au probleme de l'innovation
• Gaussian quasimartingales

Cited In (19)

• Canonical representation for Gaussian processes
• Integral Representations for Stochastic Processes with n‐th Stationary Increments
• Limit theorems for power variations of ambit fields driven by white noise
• Title not available (Why is that?)
• Gauss-Markov processes on Hilbert spaces
• Quasi Ornstein-Uhlenbeck processes
• Covariance formulas via marginal martingales
• On stochastic integration for volatility modulated Lévy-driven Volterra processes
• On Gaussian and Bernoulli covariance representations
• On the Gaussian characterization of certain second-order processes with specified covariance
• Title not available (Why is that?)
• On infinitely divisible semimartingales
• Title not available (Why is that?)
• Spatial asymptotics for the Feynman-Kac formulas driven by time-dependent and space-fractional rough Gaussian fields with the measure-valued initial data
• Title not available (Why is that?)
• Spectral representation of Gaussian semimartingales
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stationary infinitely divisible processes

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