On the continuity of characteristic functionals and sparse stochastic modeling

DOI10.1007/s00041-014-9351-4zbMath1306.60036arXiv1401.6850OpenAlexW2156984667MaRDI QIDQ487999

Julien Fageot, Michael Unser, Arash A. Amini

Publication date: 23 January 2015

Published in: The Journal of Fourier Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.6850

zbMATH Keywords

stochastic differential equationcharacteristic functionalgeneralized stochastic processinnovation modelwhite Lévy noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) White noise theory (60H40) Self-similar stochastic processes (60G18)

Related Items (10)

On the Besov regularity of periodic Lévy noises ⋮ Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process ⋮ Multidimensional Lévy white noise in weighted Besov spaces ⋮ The domain of definition of the Lévy white noise ⋮ Wavelet Statistics of Sparse and Self-Similar Images ⋮ Sample paths of white noise in spaces with dominating mixed smoothness ⋮ Wavelet analysis of the Besov regularity of Lévy white noise ⋮ The \(n\)-term approximation of periodic generalized Lévy processes ⋮ Gaussian and sparse processes are limits of generalized Poisson processes ⋮ Scaling limits of solutions of linear stochastic differential equations driven by Lévy white noises

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