Maximal inequalities for fractional Lévy and related processes

DOI10.1080/07362994.2015.1036167zbMATH Open1325.60052OpenAlexW1626365323MaRDI QIDQ3448336FDOQ3448336

Authors Christian Bender, Philip Oberacker, Robert Knobloch

Publication date 23 October 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.1257

zbMATH Keywords

stochastic convolutionpath propertiesmaximal inequalitiesfractional Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stochastic integrals (60H05)

Abstract: In this paper we study processes which are constructed by a convolution of a deterministic kernel with a martingale. A special emphasis is put on the case where the driving martingale is a centred L'evy process, which covers the popular class of fractional L'evy processes. As a main result we show that, under appropriate assumptions on the kernel and the martingale, the maximum process of the corresponding `convoluted martingale' is $p$-integrable and we derive maximal inequalities in terms of the kernel and of the moments of the driving martingale.

Recommendations

• Maximal inequalities and some applications
• Maximal regularity for stochastic convolutions driven by Lévy processes
• Stochastic calculus for convoluted Lévy processes
• Fractional Lévy processes with an application to long memory moving average processes
• Stochastic Convolutions Driven by Martingales: Maximal Inequalities and Exponential Integrability

Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• A Unified Formulation of Gaussian Versus Sparse Stochastic Processes—Part I: Continuous-Domain Theory
• A generalised Itō formula for Lévy-driven Volterra processes
• A unifying approach to fractional Lévy processes
• Anticipative calculus with respect to filtered Poisson processes.
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• Fluctuations of Lévy processes with applications. Introductory lectures
• Fractional Lévy processes with an application to long memory moving average processes
• Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
• Generalized fractional Lévy processes with fractional Brownian motion limit
• Lévy Processes and Stochastic Calculus
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• On some maximal inequalities for fractional Brownian motions
• Spectral representations of infinitely divisible processes
• Stochastic calculus for convoluted Lévy processes
• Two results on continuity and boundedness of stochastic convolutions

Cited in

(10)

• Maximal regularity for stochastic convolutions driven by Lévy processes
• Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process
• Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean
• Fractional processes and their statistical inference: an overview
• Maximal inequalities of the Itô integral with respect to Poisson random measures or Lévy processes on Banach spaces
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
• Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
• Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process
• On the conditional small ball property of multivariate Lévy-driven moving average processes

This page was built for publication: Maximal inequalities for fractional Lévy and related processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3448336)