Finite variation of fractional Lévy processes
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Publication:430979
DOI10.1007/S10959-010-0339-YzbMATH Open1254.60040arXiv1012.5942OpenAlexW2949888481MaRDI QIDQ430979FDOQ430979
Authors: Christian Bender, Markus Schicks, Alexander Lindner 
Publication date: 26 June 2012
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1012.5942
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Cited In (26)
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- Ambit fields: survey and new challenges
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- Fractional processes and their statistical inference: an overview
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- 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
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- 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
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- 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
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
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