Selfdecomposability of moving average fractional Lévy processes

DOI10.1016/J.SPL.2011.06.015MaRDI QIDQ643236zbMATH OpenOpenAlexFDO

Authors Serge Cohen, M. Maejima

Publication date 28 October 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.06.015

zbMATH Keywords

infinite divisibilitymoving average fractional Lévy processesselfdecomposability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Fractional processes, including fractional Brownian motion (60G22) Processes with independent increments; Lévy processes (60G51)

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Cited in

(2)

• Correlating Lévy processes with self-decomposability: applications to energy markets
• Selfdecomposable fields

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