Variational Sums for Additive Processes

DOI10.2307/2041732MaRDI QIDQ4043883zbMATH OpenOpenAlexFDO

Authors William N. Hudson, J. David Mason

Publication date 1976

Full work available at URL https://doi.org/10.2307/2041732

Mathematics Subject Classification ID

Stochastic processes (60G99)

Cites work

• Limit Theorems for Variational Sums
• On the \gamma-Variation of Processes with Stationary Independent Increments
• Path behavior of processes with stationary independent increments
• Sign-Invariant Random Variables and Stochastic Processes with Sign-invariant Increments

Cited in

(8)

• Inference in Lévy-type stochastic volatility models
• Variational sums of infinitesimal systems
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Statistical estimation of Lévy-type stochastic volatility models
• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
• Power variation for Itô integrals with respect to -stable processes
• Power variation of some integral fractional processes
• Small-time moment asymptotics for Lévy processes

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