Ambit fields: survey and new challenges
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Publication:5038271
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)
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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- A Law of Large Numbers for the Power Variation of Fractional Lévy Processes
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- Ambit processes; with applications to turbulence and tumour growth
- Approximating Lévy semistationary processes via Fourier methods in the context of power markets
- Assessing relative volatility/ intermittency/energy dissipation
- Asymptotic properties of realized power variations and related functionals of semimartingales
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- Brownian semistationary processes and volatility/intermittency
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- Gaussian moving averages and semimartingales
- Integrability conditions for space-time stochastic integrals: theory and applications
- Integration theory for infinite dimensional volatility modulated Volterra processes
- Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
- Limit theorems for power variations of ambit fields driven by white noise
- Lévy driven moving averages and semimartingales
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Multipower variation for Brownian semistationary processes
- On mixing and stability of limit theorems
- On non-standard limits of Brownian semi-stationary processes
- On roughness indices for fractional fields
- On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
- On stochastic integration for volatility modulated Lévy-driven Volterra processes
- Power variation for Gaussian processes with stationary increments
- Power variation of some integral fractional processes
- Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
- Spatio-temporal modelling -- with a view to biological growth
- Spectral representations of infinitely divisible processes
- Stochastic calculus with respect to Gaussian processes
- Stochastic integrals for SPDEs: a comparison
- The Malliavin Calculus and Related Topics
- Time Change, Volatility, and Turbulence
- Volterra equations driven by semimartingales
Cited in
(16)- The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
- Intermittency and infinite variance: the case of integrated supou processes
- Ambit processes and stochastic partial differential equations
- Limit theorems for power variations of ambit fields driven by white noise
- Equivalent martingale measures for Lévy-driven moving averages and related processes
- Ambit stochastics
- Approximating ambit fields via Fourier methods
- Some recent developments in ambit stochastics
- Ambit fields: a stochastic modelling approach
- Pathwise decompositions of Brownian semistationary processes
- A weak law of large numbers for realised covariation in a Hilbert space setting
- Lévy-driven Volterra equations in space and time
- Selfdecomposable fields
- Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise
- Low-frequency estimation of continuous-time moving average Lévy processes
- Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach
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