IDEAS home Printed from https://ideas.repec.org/h/spr/spochp/978-3-319-03512-3_14.html
   My bibliography  Save this book chapter

Ambit Processes, Their Volatility Determination and Their Applications

In: Modern Stochastics and Applications

Author

Listed:
  • José Manuel Corcuera

    (Gran Via Corts Catalanes 585)

  • Gergely Farkas

    (Gran Via Corts Catalanes 585)

  • Arturo Valdivia

    (Gran Via Corts Catalanes 585)

Abstract

In this chapter we try to review the research done so far about ambit processes and their applications. The notion of ambit process was introduced by Barndorff-Nielsen and Schmiegel in 2007. Since then, many papers have been written studying their properties and applying them to model different natural or economic phenomena. As it is shown in the paper, these processes share their mathematical structure with the solutions of random evolution equations allowing them great flexibility for modelling. The goal of this paper is fourfold: to show the main characteristics of these processes; how to determine their main structural component: their volatility; how they can be used for modelling different random phenomena like turbulence or financial prices; and last but not least the mathematics behind.

Suggested Citation

  • José Manuel Corcuera & Gergely Farkas & Arturo Valdivia, 2014. "Ambit Processes, Their Volatility Determination and Their Applications," Springer Optimization and Its Applications, in: Volodymyr Korolyuk & Nikolaos Limnios & Yuliya Mishura & Lyudmyla Sakhno & Georgiy Shevchenko (ed.), Modern Stochastics and Applications, edition 127, pages 245-265, Springer.
    • Handle: RePEc:spr:spochp:978-3-319-03512-3_14
    DOI: 10.1007/978-3-319-03512-3_14
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:spochp:978-3-319-03512-3_14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.