Infinite divisibility for stochastic processes and time change
From MaRDI portal
Publication:867076
DOI10.1007/s10959-006-0020-7zbMath1111.60028OpenAlexW2045819438MaRDI QIDQ867076
Makoto Maejima, Ken-iti Sato, Ole Eiler Barndorff-Nielsen
Publication date: 14 February 2007
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-006-0020-7
Processes with independent increments; Lévy processes (60G51) Self-similar stochastic processes (60G18)
Related Items (13)
On Lévy Semistationary Processes with a Gamma Kernel ⋮ Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes ⋮ Two-parameter Lévy processes along decreasing paths ⋮ On the infinitesimal dispersion of multivariate Markov counting systems ⋮ BSDEs driven by time-changed Lévy noises and optimal control ⋮ Stationary infinitely divisible processes ⋮ Selfdecomposability of moving average fractional Lévy processes ⋮ IDT processes and associated Lévy processes with explicit constructions ⋮ Selfdecomposable fields ⋮ How rich is the class of processes which are infinitely divisible with respect to time? ⋮ On the class of distributions of subordinated Lévy processes and bases ⋮ Some Recent Developments in Ambit Stochastics ⋮ On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
Cites Work
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Log-fractional stable processes
- Cone-parameter convolution semigroups and their subordination
- Stochastic integrals in additive processes and application to semi-Lévy processes
- Self-similar processes with independent increments associated with Lévy and Bessel processes.
- Stochastic volatility, jumps and hidden time changes
- On certain self-decomposable self-similar processes with independent increments
- Semi-Lévy processes, semi-selfsimilar additive processes, and semi-stationary Ornstein-Uhlen\-beck type processes
- Distributions of selfsimilar and semi-selfsimilar processes with independent increments
- Self-similar processes with independent increments
- Time Changes for Lévy Processes
- Multivariate subordination, self-decomposability and stability
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Change of Time and Change of Measure
- Stochastic Volatility for Lévy Processes
- Financial Modelling with Jump Processes
- Power Variation and Time Change
- Diffusion Equation and Stochastic Processes
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Infinite divisibility for stochastic processes and time change
