Stationary and multi-self-similar random fields with stochastic volatility

DOI10.1080/17442508.2015.1012081zbMath1337.60104arXiv1402.2882OpenAlexW1562476552MaRDI QIDQ2804013

Almut E. D. Veraart

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.2882

zbMATH Keywords

stochastic volatilitystochastic partial differential equationsstationarityrandom fieldsinfinite divisibilitymulti-self-similarityLévy basismixed moving average fieldstype G distributiongeneralized Lamperti transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Stationary stochastic processes (60G10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Self-similar stochastic processes (60G18)

Related Items (2)

Hybrid simulation scheme for volatility modulated moving average fields ⋮ Mixing properties of multivariate infinitely divisible random fields

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