Ambit fields: survey and new challenges
From MaRDI portal
Publication:5038271
DOI10.1007/978-3-319-13984-5_12zbMATH Open1498.60095arXiv1405.1531OpenAlexW2133896772MaRDI QIDQ5038271FDOQ5038271
Authors: Mark Podolskij 
Publication date: 30 September 2022
Published in: XI Symposium on Probability and Stochastic Processes (Search for Journal in Brave)
Abstract: In this paper we present a survey on recent developments in the study of ambit fields and point out some open problems. Ambit fields is a class of spatio-temporal stochastic processes, which by its general structure constitutes a flexible model for dynamical structures in time and/or in space. We will review their basic probabilistic properties, main stochastic integration concepts and recent limit theory for high frequency statistics of ambit fields.
Full work available at URL: https://arxiv.org/abs/1405.1531
Recommendations
Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Random measures (60G57) Stochastic integrals (60H05)
Cites Work
- Asymptotic properties of realized power variations and related functionals of semimartingales
- The Malliavin Calculus and Related Topics
- Spectral representations of infinitely divisible processes
- On roughness indices for fractional fields
- Finite variation of fractional Lévy processes
- Convergence of integrated processes of arbitrary Hermite rank
- Central limit theorems for non-linear functionals of Gaussian fields
- Central limit theorems for sequences of multiple stochastic integrals
- Title not available (Why is that?)
- Stochastic calculus with respect to Gaussian processes
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Stochastic integrals for SPDEs: a comparison
- Title not available (Why is that?)
- Discretization of processes.
- Power variation for Gaussian processes with stationary increments
- Title not available (Why is that?)
- Power variation of some integral fractional processes
- On stochastic integration for volatility modulated Lévy-driven Volterra processes
- Integration theory for infinite dimensional volatility modulated Volterra processes
- Functional limit theorems for generalized variations of the fractional Brownian sheet
- Limit theorems for power variations of ambit fields driven by white noise
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- On mixing and stability of limit theorems
- Asymptotics of weighted random sums
- Volterra equations driven by semimartingales
- Gaussian moving averages and semimartingales
- Time Change, Volatility, and Turbulence
- Brownian semistationary processes and volatility/intermittency
- Title not available (Why is that?)
- Ambit processes; with applications to turbulence and tumour growth
- Lévy driven moving averages and semimartingales
- Fractional Lévy processes with an application to long memory moving average processes
- Estimation of quadratic variation for two-parameter diffusions
- Asymptotic theory for Brownian semi-stationary processes with application to turbulence
- Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
- Assessing relative volatility/ intermittency/energy dissipation
- Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
- Multipower variation for Brownian semistationary processes
- Spatio-temporal modelling -- with a view to biological growth
- Approximating Lévy semistationary processes via Fourier methods in the context of power markets
- On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
- Integrability conditions for space-time stochastic integrals: theory and applications
- A Law of Large Numbers for the Power Variation of Fractional Lévy Processes
- Title not available (Why is that?)
- Title not available (Why is that?)
- On non-standard limits of Brownian semi-stationary processes
Cited In (16)
- Pathwise decompositions of Brownian semistationary processes
- The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
- Ambit fields: a stochastic modelling approach
- Limit theorems for power variations of ambit fields driven by white noise
- Ambit stochastics
- Ambit processes and stochastic partial differential equations
- Lévy-driven Volterra equations in space and time
- Approximating ambit fields via Fourier methods
- Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach
- Intermittency and infinite variance: the case of integrated supou processes
- Some recent developments in ambit stochastics
- Low-frequency estimation of continuous-time moving average Lévy processes
- Equivalent martingale measures for Lévy-driven moving averages and related processes
- A weak law of large numbers for realised covariation in a Hilbert space setting
- Selfdecomposable fields
- Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise
This page was built for publication: Ambit fields: survey and new challenges
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5038271)
