Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Random measures (60G57) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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.
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Cites work
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Cited in
(17)- Equivalent martingale measures for Lévy-driven moving averages and related processes
- Low-frequency estimation of continuous-time moving average Lévy processes
- Intermittency and infinite variance: the case of integrated supou processes
- A weak law of large numbers for realised covariation in a Hilbert space setting
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- Selfdecomposable fields
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- Ambit fields: a stochastic modelling approach
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