Ambit Processes and Stochastic Partial Differential Equations
From MaRDI portal
Publication:5198555
DOI10.1007/978-3-642-18412-3_2zbMath1239.91188MaRDI QIDQ5198555
Almut E. D. Veraart, Fred Espen Benth, Ole Eiler Barndorff-Nielsen
Publication date: 8 August 2011
Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/20040083/rp10_17.pdf
60G60: Random fields
91G80: Financial applications of other theories
60H40: White noise theory
60H05: Stochastic integrals
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
60G57: Random measures
Related Items
Gamma Kernels and BSS/LSS Processes, Pathwise Decompositions of Brownian Semistationary Processes, Ambit fields: a stochastic modelling approach, A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution, Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations, Integration theory for infinite dimensional volatility modulated Volterra processes, Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes, Limit theorems for power variations of ambit fields driven by white noise, Stationary infinitely divisible processes, Integrability conditions for space-time stochastic integrals: theory and applications, An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market, Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility, Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge, Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation, Forecasting energy market contracts by ambit processes: empirical study and numerical results, Stochastic PDEs with heavy-tailed noise, Lévy-driven Volterra equations in space and time, On the approximation of Lévy driven Volterra processes and their integrals, Stationary and multi-self-similar random fields with stochastic volatility, Approximating ambit fields via Fourier methods, Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes, Ambit Processes, Their Volatility Determination and Their Applications, Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise, Likelihood Inference for Exponential-Trawl Processes, Modelling Electricity Futures by Ambit Fields, Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach, Modelling Lévy space‐time white noises