Sufficient conditions for boundedness of moving average processes

MaRDI QIDQ4445175zbMATH OpenFDO

Authors Michael B. Marcus, Jan Rosiński

Publication date 28 January 2004

zbMATH Keywords

infinitely divisible random fieldsLévy processesmoving average processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Review text

If a function \(f(\cdot)\) has finite total 2-variation and \(Z(s)\) is a symmetric Lévy process, then the process \[ X_f(t)= \int^t_0 f(t-s)\,dZ(s),\quad t\in [0,t), \] has a bounded version a.s. and is a.s. continuous if \(f(\cdot)\) is continuous. Then bounds for the supremum of \(X_f(t)\), for the largest jump, are obtained. The forward average processes and Lévy sheets are considered as well. For the entire collection see [Zbl 1024.00031].

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Cited in

(4)

• Almost sure continuity of stable moving average processes with index less than one
• Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
• The suprema of infinitely divisible processes
• Lévy driven moving averages and semimartingales

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