Properties of integrals with respect to fractional Poisson processes with compact kernels

DOI10.1090/S0094-9000-2015-00941-8zbMath1326.60080MaRDI QIDQ2944759

Yuliya S. Mishura, V. P. Zubchenko

Publication date: 8 September 2015

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

integral representationstochastic integralfractional Poisson processBichteler-Jacod inequalityMandelbrot-Van Ness kernelMolchan-Golosov kernel

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (2)

Parameter estimation for a discrete time model driven by fractional Poisson process ⋮ Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise

Cites Work

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• Fractional Lévy Processes as a Result of Compact Interval Integral Transformation
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

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