Path and semimartingale properties of chaos processes

DOI10.1016/J.SPA.2009.12.001MaRDI QIDQ963036zbMATH OpenOpenAlexFDO

Authors Andreas Basse-O'Connor, Svend-Erik Graversen

Publication date 8 April 2010

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

Full work available at URL https://doi.org/10.1016/j.spa.2009.12.001

zbMATH Keywords

absolute continuitysemimartingales\(p\)-variationmoving averageschaos processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Stationary stochastic processes (60G10) Generalizations of martingales (60G48) Random measures (60G57) Sample path properties (60G17)

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Cited in

(8)

• Sample paths of \(\alpha\)-chaos
• On decoupling, series expansions, and tail behavior of chaos processes
• Interest rate convexity in a Gaussian framework
• A computation of the Littlewood exponent of stochastic processes
• scientific article; zbMATH DE number 1420722 (Why is no real title available?)
• On infinitely divisible semimartingales
• Integrability of seminorms
• Lévy driven moving averages and semimartingales

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