Some recent developments in ambit stochastics

DOI10.1007/978-3-319-23425-0_1MaRDI QIDQ2801788zbMATH OpenOpenAlexFDO

Authors Emil Hedevang, Jürgen Schmiegel, Benedykt Szozda, Ole E. Barndorff-Nielsen

Publication date 22 April 2016

Published in Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/978-3-319-23425-0_1

zbMATH Keywords

ambit stochasticsextended subordinationfinancemetatimesstochastic volatility/intermittencytime-changeturbulenceuniversality

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Random measures (60G57) Random fields (60G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Recommendations

• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
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Cites work

• A Stochastic Differential Equation Framework for the Timewise Dynamics of Turbulent Velocities
• Assessing relative volatility/ intermittency/energy dissipation
• Asymptotic theory for Brownian semi-stationary processes with application to turbulence
• Change of time and change of measure
• Infinite divisibility for stochastic processes and time change
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Meta-times and extended subordination
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Processes of normal inverse Gaussian type
• Spectral representations of infinitely divisible processes
• Stationary infinitely divisible processes
• The random integral representation conjecture: a quarter of a century later

Cited in

(17)

• Volterra-type Ornstein-Uhlenbeck processes in space and time
• Weak dependence and GMM estimation of supOU and mixed moving average processes
• Hybrid simulation scheme for volatility modulated moving average fields
• Lévy-driven causal CARMA random fields
• Ambit processes, their volatility determination and their applications
• Volatility determination in an ambit process setting
• Time Change, Volatility, and Turbulence
• Ambit stochastics
• Gamma kernels and BSS/LSS processes
• Ambit fields: survey and new challenges
• Ambit processes and stochastic partial differential equations
• Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
• Change of time and change of measure
• Pathwise decompositions of Brownian semistationary processes
• Ambit fields: a stochastic modelling approach
• Research frontiers in ambit stochastics: in memory of Ole E. Barndorff-Nielsen
• Operator theory of multiple Itô-integrals

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