Variational Sums for Additive Processes

DOI10.2307/2041732zbMATH Open0292.60082OpenAlexW4252062847MaRDI QIDQ4043883FDOQ4043883

Authors: William N. Hudson, J. David Mason 

Publication date: 1976

Full work available at URL: https://doi.org/10.2307/2041732

Mathematics Subject Classification ID

Stochastic processes (60G99)

Cites Work

• On the $\gamma$-Variation of Processes with Stationary Independent Increments
• Path behavior of processes with stationary independent increments
• Limit Theorems for Variational Sums
• Sign-Invariant Random Variables and Stochastic Processes with Sign-invariant Increments

Cited In (8)

• Small-time moment asymptotics for Lévy processes
• Power variation for Itô integrals with respect to \(\alpha\)-stable processes
• Inference in Lévy-type stochastic volatility models
• Statistical estimation of Lévy-type stochastic volatility models
• Power variation of some integral fractional processes
• Variational sums of infinitesimal systems
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations

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