On the conditional small ball property of multivariate Lévy-driven moving average processes
DOI10.1016/j.spa.2016.06.025zbMath1355.60045arXiv1601.03698OpenAlexW2232769129MaRDI QIDQ511124
Adil Yazigi, Tommi Sottinen, Mikko S. Pakkanen
Publication date: 14 February 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1601.03698
moving average processsmall ball probabilityLévy copulafractional Lévy processmultivariate Lévy processconditional full supportconvolution determinantLévy mixingLévy-driven OU processmultivariate subordination
Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Sample path properties (60G17)
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