Finite variation of fractional Lévy processes
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Abstract: Various characterizations for fractional Levy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving Levy process, while others are in terms of differentiability properties of the sample paths. A zero-one law and a formula for the expected total variation is also given.
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- scientific article; zbMATH DE number 1402217
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Cites work
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Fractional Lévy processes with an application to long memory moving average processes
- Identification and properties of real harmonizable fractional Lévy motions
- Lévy driven moving averages and semimartingales
- On roughness indices for fractional fields
- Passage of Lévy processes across power law boundaries at small times
- Stochastic calculus for fractional Brownian motion and related processes.
- Transformations of infinitely divisible distributions via improper stochastic integrals
Cited in
(26)- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
- On the approximation of Lévy driven Volterra processes and their integrals
- Abrupt Lévy processes.
- A generalised Itō formula for Lévy-driven Volterra processes
- Criteria for the finiteness of the strong \(p\)-variation for Lévy-type processes
- Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process
- Ambit fields: survey and new challenges
- Functional regular variation of Lévy-driven multivariate mixed moving average processes
- Fractional processes and their statistical inference: an overview
- Finiteness of integrals of functions of Lévy processes
- Free random Lévy variables and financial probabilities
- Fine regularity of Lévy processes and linear (multi)fractional stable motion
- Finitely polynomially determined Lévy processes
- Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations
- Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises
- A unifying approach to fractional Lévy processes
- Low-frequency estimation of continuous-time moving average Lévy processes
- On infinitely divisible semimartingales
- Estimation of the linear fractional stable motion
- 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
- Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations
- Asymptotic behaviour of the distribution density of the fractional Lévy motion
- Characterization of the finite variation property for a class of stationary increment infinitely divisible processes
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise
- Kernel estimation for Lévy driven stochastic convolutions
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