A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES

DOI10.1142/S0219493712500177zbMath1273.60042OpenAlexW2118296183MaRDI QIDQ4922063

Jeannette H. C. Woerner, Sebastian Engelke

Publication date: 28 May 2013

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493712500177

zbMATH Keywords

correlationfractional Brownian motionlong-range dependencesemimartingaleBlumenthal-Getoor indexlinear fractional stable motionfractional Levy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22)

Related Items

Maximal Inequalities for Fractional Lévy and Related Processes ⋮ Least squares estimator for Ornstein–Uhlenbeck processes driven by small fractional Lévy noises ⋮ Least squares estimator of Ornstein-Uhlenbeck processes driven by fractional Lévy processes with periodic mean ⋮ Affine representations of fractional processes with applications in mathematical finance ⋮ Fractional processes and their statistical inference: an overview ⋮ Nonparametric estimation of trend for stochastic differential equations driven by fractional Levy process ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Persistence Probabilities and Exponents ⋮ Least squares estimator for stochastic differential equations driven by small fractional Lévy noises from discrete observations ⋮ Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process ⋮ A Law of Large Numbers for the Power Variation of Fractional Lévy Processes ⋮ Least squares estimator for Ornstein-Uhlenbeck processes driven by fractional Lévy processes from discrete observations ⋮ A generalised Itō formula for Lévy-driven Volterra processes

Cites Work

• Finite variation of fractional Lévy processes
• Lévy driven moving averages and semimartingales
• Spectral representations of infinitely divisible processes
• On roughness indices for fractional fields
• Fractional Lévy processes with an application to long memory moving average processes
• Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
• Fractional Brownian Motions, Fractional Noises and Applications
• Student processes

This page was built for publication: A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES