Ambit stochastics
DOI10.1007/978-3-319-94129-5zbMATH Open1472.60002OpenAlexW4256136985MaRDI QIDQ4686609FDOQ4686609
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
Publication date: 2 October 2018
Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-94129-5
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simulationoption pricingturbulence modellingVolterra processambit fieldambit setnon-semimartingale integration
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Cited In (26)
- Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
- Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
- Self-exciting multifractional processes
- INTERMITTENCY AND MULTISCALING IN LIMIT THEOREMS
- Limit theorems for integrated trawl processes with symmetric Lévy bases
- Limit theorems for trawl processes
- Local scaling limits of Lévy driven fractional random fields
- Stochastic delay differential equations and related autoregressive models
- Periodic trawl processes: simulation, statistical inference and applications in energy markets
- Robustness of Hilbert space-valued stochastic volatility models
- On the divergence and vorticity of vector ambit fields
- Intermittency and infinite variance: the case of integrated supou processes
- Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
- CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
- Volterra equations driven by rough signals 2: Higher-order expansions
- An extension of the sewing lemma to hyper-cubes and hyperbolic equations driven by multi-parameter Young fields
- Metatimes, random measures and cylindrical random variables
- Simulation methods and error analysis for trawl processes and ambit fields
- Modelling Lévy space‐time white noises
- Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
- Stochastic integrals and Gelfand integration in Fréchet spaces
- Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --
- Correlators of Polynomial Processes
- Multivariate continuous-time autoregressive moving-average processes on cones
- Likelihood theory for the graph Ornstein-Uhlenbeck process
- Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
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