Path and semimartingale properties of chaos processes

DOI10.1016/J.SPA.2009.12.001zbMATH Open1193.60059OpenAlexW2065868195MaRDI QIDQ963036FDOQ963036

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

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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)

Cites Work

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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
• Title not available (Why is that?)
• On infinitely divisible semimartingales
• Integrability of seminorms
• Lévy driven moving averages and semimartingales

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