Stochastic Volterra equations for the local times of spectrally positive stable processes
From MaRDI portal
Publication:6591585
DOI10.1214/23-aap2017MaRDI QIDQ6591585
Publication date: 22 August 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
local timestable processesRay-Knight theoremPoisson random measurestochastic Volterra equationsLaplace functionalmarked Hawkes point measure
Random measures (60G57) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integral equations (60H20)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
- Scaling limits via excursion theory: interplay between Crump-Mode-Jagers branching processes and processor-sharing queues
- Stochastic equations, flows and measure-valued processes
- On some properties of the Mittag-Leffler function \(E_\alpha(-t^\alpha)\), completely monotone for \(t>0\) with \(0<\alpha<1\)
- Mittag-Leffler functions and their applications
- A necessary and sufficient condition for the Markov property of the local time process
- Inverting Ray-Knight identity
- Fractional integral inequalities and applications
- Volterra equations driven by semimartingales
- Two uniform intrinsic constructions for the local time of a class of Lévy processes
- Necessary and sufficient conditions for the continuity of local time of Lévy processes
- Occupation densities
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Limit theorems and variation properties for fractional derivatives of the local time of a stable process
- Branching processes in Lévy processes: The exploration process
- Branching processes in Lévy processes: Laplace functionals of snakes and superprocesses
- Affine processes and applications in finance
- Uniform control of local times of spectrally positive stable processes
- The microstructural foundations of leverage effect and rough volatility
- Totally ordered measured trees and splitting trees with infinite variation
- A Ray-Knight theorem for symmetric Markov processes.
- On the Hilbert transform of the local times of a Lévy process
- Functional limit theorems for marked Hawkes point measures
- Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
- A weak solution theory for stochastic Volterra equations of convolution type
- The microstructure of stochastic volatility models with self-exciting jump dynamics
- Conjectures on symmetric queues in heavy traffic
- Stochastic equations of non-negative processes with jumps
- The contour of splitting trees is a Lévy process
- Affine Volterra processes
- Limit theorems for nearly unstable Hawkes processes
- Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance case
- Fluctuations of Lévy processes with applications. Introductory lectures
- Local times for a class of Markoff processes
- Skew convolution semigroups and affine Markov processes
- Stochastic flows associated to coalescent processes. III: Limit theorems
- Sojourn times of diffusion processes
- Stochastic Volterra equations with anticipating coefficients
- [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
- On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions
- Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
- From microscopic price dynamics to multidimensional rough volatility models
- Continuous-State Branching Processes with Immigration
- Special Functions for Applied Scientists
- Heavy-Tail Phenomena
- A Limit Theorem for Discrete Galton-Watson Branching Processes with Immigration
- Random Walks and A Sojourn Density Process of Brownian Motion
- The characteristic function of rough Heston models
- An infinite-dimensional representation of the Ray-Knight theorems
- Diffusion approximations for self-excited systems with applications to general branching processes
Related Items (1)
This page was built for publication: Stochastic Volterra equations for the local times of spectrally positive stable processes