Time Change, Volatility, and Turbulence

DOI10.1007/978-3-540-69532-5_3zbMath1157.60043OpenAlexW4861276MaRDI QIDQ3528725

Jürgen Schmiegel, Ole Eiler Barndorff-Nielsen

Publication date: 17 October 2008

Published in: Mathematical Control Theory and Finance (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/41916408/imf_thiele_2007_12.pdf

zbMATH Keywords

turbulenceuniversalityvolatilitytime-changeVolatility modulated Volterra processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Shear flows and turbulence (76F10) Portfolio theory (91G10)

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