Variational Sums for Additive Processes

DOI10.2307/2041732zbMath0292.60082OpenAlexW4252062847MaRDI QIDQ4043883

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)

Related Items (7)

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

Cites Work

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

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