Maximal inequalities for fractional Lévy and related processes

DOI10.1080/07362994.2015.1036167zbMATH Open1325.60052arXiv1408.1257OpenAlexW1626365323MaRDI QIDQ3448336FDOQ3448336

Authors: Christian Bender, Philip Oberacker, Robert Knobloch 

Publication date: 23 October 2015

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

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.

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

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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)

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Cited In (10)

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

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