Finite variation of fractional Lévy processes

DOI10.1007/s10959-010-0339-yzbMath1254.60040arXiv1012.5942OpenAlexW2949888481MaRDI QIDQ430979

Markus Schicks, Christian Bender, Alexander M. Lindner

Publication date: 26 June 2012

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.5942

zbMATH Keywords

fractional integrationLévy processfinite variationfractional Lévy processsemimartingale property

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17)

Related Items (20)

Ambit Fields: Survey and New Challenges ⋮ On the approximation of Lévy driven Volterra processes and their integrals ⋮ On infinitely divisible semimartingales ⋮ Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Functional regular variation of Lévy-driven multivariate mixed moving average processes ⋮ Asymptotic Behaviour of the Distribution Density of the Fractional Lévy Motion ⋮ Fractional processes and their statistical inference: an overview ⋮ Characterization of the finite variation property for a class of stationary increment infinitely divisible processes ⋮ Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process ⋮ Low-frequency estimation of continuous-time moving average Lévy processes ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES ⋮ Estimation of the linear fractional stable motion ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process ⋮ Kernel estimation for Lévy driven stochastic convolutions ⋮ Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations ⋮ A generalised Itō formula for Lévy-driven Volterra processes

Cites Work

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• Lévy driven moving averages and semimartingales
• Identification and properties of real harmonizable fractional Lévy motions
• On roughness indices for fractional fields
• Stochastic calculus for fractional Brownian motion and related processes.
• Passage of Lévy processes across power law boundaries at small times
• Fractional Lévy processes with an application to long memory moving average processes
• Transformations of infinitely divisible distributions via improper stochastic integrals

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