On the conditional small ball property of multivariate Lévy-driven moving average processes

DOI10.1016/J.SPA.2016.06.025zbMATH Open1355.60045arXiv1601.03698OpenAlexW2232769129MaRDI QIDQ511124FDOQ511124

Mikko S. Pakkanen, Adil Yazigi, Tommi Sottinen

Publication date: 14 February 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We study whether a multivariate L'evy-driven moving average process can shadow arbitrarily closely any continuous path, starting from the present value of the process, with positive conditional probability, which we call the conditional small ball property. Our main results establish the conditional small ball property for L'evy-driven moving average processes under natural non-degeneracy conditions on the kernel function of the process and on the driving L'evy process. We discuss in depth how to verify these conditions in practice. As concrete examples, to which our results apply, we consider fractional L'evy processes and multivariate L'evy-driven Ornstein-Uhlenbeck processes.

Full work available at URL: https://arxiv.org/abs/1601.03698

zbMATH Keywords

moving average processsmall ball probabilityconditional full supportconvolution determinantmultivariate subordinationLévy copulamultivariate Lévy processfractional Lévy processLévy mixingLévy-driven OU process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Sample path properties (60G17)

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Cited In (1)

• No arbitrage and lead-lag relationships

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